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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|Date of creation:||1999|
|Date of revision:|
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- Kamstra, M., 1991. "A Neural Network Test for Heteroskedasticity," Discussion Papers dp91-06, Department of Economics, Simon Fraser University.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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