A consistent test for conditional heteroskedasticity in time-series regression models Academic Article

abstract

• We show that the standard consistent test for testing the null of conditional homoskedasticity (against conditional heteroskedasticity) can be generalized to a time-series regression model with weakly dependent data and with generated regressors. The test statistic is shown to have an asymptotic normal distribution under the null hypothesis of conditional homoskedastic error. We also discuss extension of our test to the case of testing the null of a parametrically specified conditional variance. We advocate using a bootstrap method to overcome the issue of slow convergence of this test statistic to its limiting distribution.

authors

• Li, Qi

published proceedings

• ECONOMETRIC THEORY

author list (cited authors)

• Hsiao, C., & Li, Q.

citation count

• 21

complete list of authors

• Hsiao, C||Li, Q

publication date

• February 2001

publisher

• Cambridge University Press (CUP)  Publisher

published in

• ECONOMETRIC THEORY  Journal

keywords

• 38 Economics
• 3802 Econometrics
• 49 Mathematical Sciences
• 4905 Statistics

Digital Object Identifier (DOI)

• 10.1017/S0266466601171069

start page

• 188

end page

• 221

volume

• 17

issue

• 1

URL

• http://dx.doi.org/10.1017/s0266466601171069