Testing against nonstationary volatility in time series

The CUSUMSQ test of homoskedasticity is shown in the autoregression model to be consistent against a broad range of nonstationary volatility specification recently studied in the literature. The limit distribution is derived, and numerical examples are presented to illustrate the theoretical results obtained.

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Year of publication:	2008
Authors:	Xu, Ke-Li
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 101.2008, 3, p. 288-292
Publisher:	Elsevier
Keywords:	Autoregression CUSUMSQ test Heteroskedasticity Nonstationary volatility Variance change

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005296579