Testing against nonstationary volatility in time series

Ke-Li Xu ()

Economics Letters, 2008, vol. 101, issue 3, 288-292

Abstract: The CUSUMSQ test of homoskedasticity is shown in the autoregression model to be consistent against a broad range of nonstationary volatility specification recently studied in the literature. The limit distribution is derived, and numerical examples are presented to illustrate the theoretical results obtained.

Keywords: Autoregression; CUSUMSQ; test; Heteroskedasticity; Nonstationary; volatility; Variance; change (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:101:y:2008:i:3:p:288-292

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