A test of conditional heteroscedasticity in time series |
| |
| Authors: | Min Chen Hongzhi An |
| |
| Affiliation: | (1) Institute of Systems Science, Chinese Academy of Sciences, 100080 Beijing, China;(2) Institute of Applied Mathematics, Chinese Academy of Sciences, 100080 Beijing, China |
| |
| Abstract: | ![]()
A new test of conditional heteroscedasticity for time series is proposed. The new testing method is based on a goodness of fit type test statistics and a Cramer-von Mises type test statistic. The asymptotic properties of the new test statistic is establised. The results demonstrate that such a test is consistent. Project supported by the National Natural Science Foundation of China (Grant No. 19231050) and Postdoctoral Fund of China. |
| |
| Keywords: | nonlinear time series model the conditional heteroscedasticity hypothesis test |
| 本文献已被 SpringerLink 等数据库收录！ |
