A Simple Hypothesis Test for Heteroscedasticity
Guido Venier ()
MPRA Paper from University Library of Munich, Germany
Abstract:
Abstract: The scope of this paper is the presentation of a simple hypothesis test that enables to discern heteroscedastic data from homoscedastic i.i.d. gaussian white noise. The main feature will be a test statistic that’s easy applicable and serves well in committing such a test. The power of the statistic will be underlined by examples where it is applied to stock market data and time series from deterministic diffusion a chaotic time series process. It will turn out that in those cases the statistic rejects with a high degree of confidence the random walk hypothesis and is therefore highly reliable. Furthermore it will be discussed, that the test in most cases also may serve as a test for independence and heteroscedasticity in general. This will be exemplified by independent and equally distributed random numbers.
Keywords: Heteroscedasticity; Hypothesis Test; Independence; Random Walk (search for similar items in EconPapers)
JEL-codes: C01 C12 (search for similar items in EconPapers)
Date: 2008-11-01
New Economics Papers: this item is included in nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/11591/1/MPRA_paper_11591.pdf original version (application/pdf)
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:pra:mprapa:11591
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().