A comparison of the power of some tests for conditional heteroscedasticity

Anne Peguin-Feissolle ()
Additional contact information
Anne Peguin-Feissolle: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

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)
Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Published in Economics Letters, 1999, 63 (1), pp.5-17

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:hal:journl:halshs-00390157

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().