Testing heteroskedasticity for predictive regressions with nonstationary regressors

Shaoxin Hong, Zhengyi Zhang and Zongwu Cai

Economics Letters, 2021, vol. 201, issue C

Abstract: This paper proposes the Cramér–von Mises type test statistic for testing heteroskedasticity in predictive regression when regressors are nonstationary. A Monte Carlo simulation study is conducted to illustrate the finite sample performance and a real empirical example is examined.

Keywords: Cramér–von Mises test statistic; Heteroskedasticity; Nonstationarity; Predictive regressions; Specification test (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:201:y:2021:i:c:s0165176521000586

DOI: 10.1016/j.econlet.2021.109781

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