A Kolmogorov-Smirnov type test for conditional heteroskedasticity in time series

Min Chen and Hong Zhi An

Statistics & Probability Letters, 1997, vol. 33, issue 3, 321-331

Abstract: In this paper we propose a new test of conditional heteroskedasticity for time series by introducing a Kolmogorov-Smirnov-type test statistic. The asymptotic properties of the new test statistic are established. The results demonstrate that such a test is consistent.

Keywords: Nonlinear; time; series; model; Conditional; heteroskedasticity; Hypothesis; testing; Brownian; motion (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (3)

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