A Comparison of the Power of Some Tests for Conditional Heteroscedasticity.

This paper compares the power in small samples of different tests for conditional heteroscedasticity. Two new tests, based on neural networks, are proposed: the main interest in them arises from the fact that they do not require the exact specification of the conditional variance under the alternative.

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Year of publication:	1999
Authors:	Peguin-Feissolle, A.
Institutions:	Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM), Aix-Marseille School of Economics (AMSE)
Subject:	TESTING \| ECONOMETRICS \| HETEROSKEDASTICITY

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Series:	G.R.E.Q.A.M..
Type of publication:	Book / Working Paper
Notes:	13 pages
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005779680