WESTCHOTEST: RATS procedure to perform Heteroscedasticity-robust serial correlation test
AbstractComputes the modified Ljung-Box test, robust to heteroscedasticity, proposed in West and Cho(1995), "The predictive ability of several models of exchange rate volatility," Journal of Econometrics, vol. 69, no 2, 367-391.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00252.
Programming language: RATS
Requires: RATS 7.30
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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Other versions of this item:
- West, Kenneth D. & Cho, Dongchul, 1995. "The predictive ability of several models of exchange rate volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 69(2), pages 367-391, October.
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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