A comparison of the power of some tests for conditional heteroscedasticity
AbstractThis 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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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 63 (1999)
Issue (Month): 1 (April)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Peguin-Feissolle, A., 1999. "A Comparison of the Power of Some Tests for Conditional Heteroscedasticity," G.R.E.Q.A.M. 99a22, Universite Aix-Marseille III.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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