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Non‐Parametric Testing of Conditional Variance Functions in Time Series
Author(s) -
Laïb Naâmane
Publication year - 2003
Publication title -
australian and new zealand journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 1369-1473
DOI - 10.1111/1467-842x.00298
Subject(s) - mathematics , series (stratigraphy) , conditional variance , ergodicity , parametric statistics , variance (accounting) , statistics , econometrics , one way analysis of variance , parametric model , analysis of variance , autoregressive conditional heteroskedasticity , volatility (finance) , paleontology , accounting , business , biology
Summary This paper proposes a non‐parametric test for examining hypotheses about variance functions under stationarity and ergodicity conditions. Special cases of nonlinear time series models are studied, and it is found that under mild conditions the test is consistent. Its power is examined in a simulation study.