Testing Heteroskedasticity for Predictive Regressions With Nonstationary Regressors

Shaoxin Hong, Zhengyi Zhang and Zongwu Cai
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Shaoxin Hong: Center for Economic Research, Shandong University, Jinan 250100, Shandong, China
Zhengyi Zhang: International School of Economics and Management, Capital University of Economics and Business, Beijing, Beijing 100070, China
Zongwu Cai: Department of Economics, The University of Kansas, Lawrence, KS 66045, USA

No 202101, WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS from University of Kansas, Department of Economics

Abstract: In this paper, we propose the Cramer-von Mises type test statistic for testing heteroskedasticity in predictive regression when regressors are nonstationary. A Monte Carlo simulation study is conducted to illustrate the finite sample performance of the proposed test statistic and a real empirical example is examined.

Keywords: Cramer-von Mises test statistic; Heteroskedasticity; Nonstationarity; Predictive regressions; Specification test. (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2021-01, Revised 2021-01
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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