A test of conditional heteroscedasticity in time series

被引：0
|
作者：
Min Chen
Hongzhi An
机构：
[1] Chinese Academy of Sciences,Institute of Systems Science
[2] Chinese Academy of Sciences,Institute of Applied Mathematics
来源：
Science in China Series A: Mathematics | 1999年 / 42卷
关键词：
nonlinear time series model; the conditional heteroscedasticity; hypothesis test;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
A new test of conditional heteroscedasticity for time series is proposed. The new testing method is based on a goodness of fit type test statistics and a Cramer-von Mises type test statistic. The asymptotic properties of the new test statistic is establised. The results demonstrate that such a test is consistent.
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页码：26 / 37
页数：11
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