A Comparison of the Power of Some Tests for Conditional Heteroscedasticity

A. Peguin-Feissolle

G.R.E.Q.A.M. from Universite Aix-Marseille III

Abstract: This paper compares the power in small samples of different tests for conditional heteroscedasticity. Two new tests, based on neural networks, are proposed: the main interest in them arises from the fact that they do not require the exact specification of the conditional variance under the alternative.

Keywords: TESTING; ECONOMETRICS; HETEROSKEDASTICITY (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 13 pages
Date: 1999
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Citations: View citations in EconPapers (5)

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Journal Article: A comparison of the power of some tests for conditional heteroscedasticity (1999)
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