Testing for nonlinearity in mean in the presence of heteroskedasticity

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Testing for nonlinearity in mean in the presence of heteroskedasticity

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Stan Hurn
Ralf Becker

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Stan Hurn

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Paper provided by School of Economics and Finance, Queensland University of Technology in its series Stan Hurn Discussion Papers with number 2006-02.

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Date of creation: 15 Jun 2006
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Handle: RePEc:qut:sthurn:2006-02

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Paper
- Stan Hurn, 2004. "Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity," Econometric Society 2004 Australasian Meetings 348, Econometric Society. [Downloadable!]

This paper has been announced in the following NEP Reports:

NEP-ALL-2006-04-01 (All new papers)
NEP-ETS-2006-04-01 (Econometric Time Series)

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- Sílvia Gonçalves & Lutz Kilian, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," CIRANO Working Papers 2003s-17, CIRANO. [Downloadable!]
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- Silvia Goncalves & Halbert White, 2002. "Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models," University of California at San Diego, Economics Working Paper Series 2000-32R, Department of Economics, UC San Diego. [Downloadable!]
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GONÇALVES, Silvia & WHITE, Halbert, 2001. "The Bootstrap of Mean for Dependent Heterogeneous Arrays," Cahiers de recherche 2001-19, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
Other versions:
- Goncalves, S. & White, H., 2001. "The Bootstrap of Mean for Dependent Heterogeneous Arrays," Cahiers de recherche 2001-19, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
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