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A Kolmogorov-Smirnov type test for conditional heteroskedasticity in time series

✍ Scribed by Min Chen; Hong Zhi An

Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
392 KB
Volume
33
Category
Article
ISSN
0167-7152

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✦ Synopsis

In this paper we propose a new test of conditional heteroskedasticity for time series by introducing a Kolmogorov-Smirnov-type test statistic. The asymptotic properties of the new test statistic are established. The results demonstrate that such a test is consistent.

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