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A CONSISTENT TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME-SERIES REGRESSION MODELS

Published online by Cambridge University Press:  07 February 2001

Cheng Hsiao
Affiliation:
University of Southern California and Hong Kong University of Science and Technology
Qi Li
Affiliation:
Texas A&M University and University of Guelph

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.

Type
Research Article
Copyright
© 2001 Cambridge University Press

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