A CONSISTENT TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME-SERIES REGRESSION MODELS

Cheng Hsiao and Qi Li

Econometric Theory, 2001, vol. 17, issue 01, pages 188-221

Abstract: We show that the standard consistent test for testing the null of conditional homoskedasticity (against conditional heteroskedasticity) can be generalized to a time-series regression model with weakly dependent data and with generated regressors. The test statistic is shown to have an asymptotic normal distribution under the null hypothesis of conditional homoskedastic error. We also discuss extension of our test to the case of testing the null of a parametrically specified conditional variance. We advocate using a bootstrap method to overcome the issue of slow convergence of this test statistic to its limiting distribution.

Date: 2001
View citations in EconPapers

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466601171069 link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:17:y:2001:i:01:p:188-221_17

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().