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Efficiency bound calculations for a time series model, with conditional heteroskedasticity

โœ Scribed by John C. Heaton; Masao Ogaki

Book ID
116101228
Publisher
Elsevier Science
Year
1991
Tongue
English
Weight
324 KB
Volume
35
Category
Article
ISSN
0165-1765

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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.