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A comparison of the power of some tests for conditional heteroscedasticity

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Author Info
Peguin-Feissolle, Anne

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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 63 (1999)
Issue (Month): 1 (April)
Pages: 5-17
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Handle: RePEc:eee:ecolet:v:63:y:1999:i:1:p:5-17

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  1. Marie Lebreton & Anne Peguin-feissolle, 2007. "Robust Tests for Heteroscedasticity in a general Framework," Annales d'Economie et de Statistique, ADRES, issue 85, pages 07, Janvier-M. [Downloadable!]
  2. Teresa Aparicio, Inmaculada Villanua, 2001. "The asymptotically efficient version of the information matrix test in binary choice models. A study of size and power," Journal of Applied Statistics, Taylor and Francis Journals, vol. 28(2), pages 167-182, February. [Downloadable!] (restricted)
  3. Burkhard Raunig, 2003. "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German DAX," Working Papers 86, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
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