A comparison of the power of some tests for conditional heteroscedasticity
This 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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- Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993.
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