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Deterministic exponential heteroskedasticity, a weakly stationary unit-root process and a useful diagnostic test

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  • Dimitrios Vougas

Abstract

A specific form of deterministic exponential heteroskedasticity is examined. A non-trivial unit root process which has exponentially heteroskedastic innovation and as a consequence, a variance that vanishes asymptotically is detailed. Such a unit root stochastic process, with exponential heteroskedasticity, may be perceived as weakly stationary by the usual unit root tests. In view of the importance of deterministic exponential heteroskedasticity, a new general diagnostic test for detecting the presence of deterministic exponential heteroskedasticity is developed.

Suggested Citation

  • Dimitrios Vougas, 2001. "Deterministic exponential heteroskedasticity, a weakly stationary unit-root process and a useful diagnostic test," Applied Economics Letters, Taylor & Francis Journals, vol. 8(6), pages 427-430.
    • Handle: RePEc:taf:apeclt:v:8:y:2001:i:6:p:427-430
    DOI: 10.1080/135048501750237919
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    References listed on IDEAS

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