Bootstrapping Neural tests for conditional heteroskedasticity
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Peguin-Feissolle, Anne, 1999.
"A comparison of the power of some tests for conditional heteroscedasticity,"
Economics Letters,
Elsevier, vol. 63(1), pages 5-17, April.
- Peguin-Feissolle, A., 1999. "A Comparison of the Power of Some Tests for Conditional Heteroscedasticity," G.R.E.Q.A.M. 99a22, Universite Aix-Marseille III.
- Anne Peguin-Feissolle, 1999. "A comparison of the power of some tests for conditional heteroscedasticity," Post-Print halshs-00390157, HAL.
- Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
- Weber, N. C., 1984. "On resampling techniques for regression models," Statistics & Probability Letters, Elsevier, vol. 2(5), pages 275-278, October.
- Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993.
"Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests,"
Journal of Econometrics,
Elsevier, vol. 56(3), pages 269-290, April.
- Tom Doan, "undated". "REGWHITENNTEST: RATS procedure to perform White neural network test on regression," Statistical Software Components RTS00183, Boston College Department of Economics.
- Tom Doan, "undated". "REGRESET: RATS procedure to perform Ramsey RESET test on regression," Statistical Software Components RTS00181, Boston College Department of Economics.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- Joel L. Horowitz, 1996. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Econometrics 9602009, EconWPA, revised 05 Mar 1996.
More about this item
Keywords
Bootstrap; Artificial Neural Networks; ARCH models; inference tests;JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2006-07-15 (All new papers)
- NEP-CMP-2006-07-15 (Computational Economics)
- NEP-ECM-2006-07-15 (Econometrics)
- NEP-ETS-2006-07-15 (Econometric Time Series)
- NEP-ICT-2006-07-15 (Information & Communication Technologies)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sce:scecfa:301. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/sceeeea.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.