Specification Tests for the Variance of a Diffusion

Valentina Corradi and Halbert White

Journal of Time Series Analysis, 1999, vol. 20, issue 3, 253-270

Abstract: We propose specification tests for the variance of a diffusion that do not require complete knowledge of the functional form under the null. We first propose a test for the constancy of the variance that, under the null of constancy, has a limiting normal distribution, while under the alternative of either unconditional or conditional heteroskedasticity it diverges at an appropriate rate. We then propose a test for the null of a parametric specification against the alternative of a more general functional form. Under the null, the test has a well‐defined limiting distribution, normal in the unconditional and mixed normal in the conditional heteroskedasticity case; under the alternative, it diverges.

Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (22)

Downloads: (external link)
https://doi.org/10.1111/1467-9892.00136

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: https://EconPapers.repec.org/RePEc:bla:jtsera:v:20:y:1999:i:3:p:253-270

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().