Non‐Parametric Testing of Conditional Variance Functions in Time Series

Naâmane Laïb

Australian & New Zealand Journal of Statistics, 2003, vol. 45, issue 4, 461-475

Abstract: This paper proposes a non‐parametric test for examining hypotheses about variance functions under stationarity and ergodicity conditions. Special cases of nonlinear time series models are studied, and it is found that under mild conditions the test is consistent. Its power is examined in a simulation study.

Date: 2003
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