A Kolmogorov-Smirnov type test for conditional heteroskedasticity in time series

DOI10.1016/S0167-7152(96)00143-5zbMath0894.62051OpenAlexW1974857775MaRDI QIDQ1380606

Min Chen, Hong-Zhi An

Publication date: 10 September 1998

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(96)00143-5

zbMATH Keywords

Brownian motionconditional heteroskedasticitynonlinear time seriesKolmogorov-Smirnov-type test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (10)

Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations ⋮ Testing for multivariate volatility functions using minimum volume sets and inverse regression ⋮ A NONPARAMETRIC TEST OF CHANGING CONDITIONAL VARIANCES IN AUTOREGRESSIVE TIME SERIES ⋮ Weak convergence of some marked empirical processes: Application to testing heteroscedasticity ⋮ A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations ⋮ Comparison of Bayesian Model Selection Criteria and Conditional Kolmogorov Test as Applied to Spot Asset Pricing Models ⋮ Checking nonlinear heteroscedastic time series models ⋮ Nonlinear time series contiguous to \(AR(1)\) processes and a related efficient test for linearity ⋮ ON THE CONDITIONAL HOMOSCEDASTICITY TEST IN AUTOREGRESSIVE MODEL WITH ARCH ERROR ⋮ A test of conditional heteroscedasticity in time series

Cites Work

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Kolmogorov-Smirnov Type Statistic with Application to Test for Nonlinearity in Time Series
• On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
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