A Kolmogorov-Smirnov type test for conditional heteroskedasticity in time series
AbstractIn this paper we propose a new test of conditional heteroskedasticity for time series by introducing a Kolmogorov-Smirnov-type test statistic. The asymptotic properties of the new test statistic are established. The results demonstrate that such a test is consistent.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 33 (1997)
Issue (Month): 3 (May)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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