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Deterministic exponential heteroskedasticity, a weakly stationary unit-root process and a useful diagnostic test

Dimitrios Vougas

Applied Economics Letters, 2001, vol. 8, issue 6, 427-430

Abstract: A specific form of deterministic exponential heteroskedasticity is examined. A non-trivial unit root process which has exponentially heteroskedastic innovation and as a consequence, a variance that vanishes asymptotically is detailed. Such a unit root stochastic process, with exponential heteroskedasticity, may be perceived as weakly stationary by the usual unit root tests. In view of the importance of deterministic exponential heteroskedasticity, a new general diagnostic test for detecting the presence of deterministic exponential heteroskedasticity is developed.

Date: 2001
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DOI: 10.1080/135048501750237919

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