Testing heteroskedasticity for predictive regressions with nonstationary regressors

DOI10.1016/j.econlet.2021.109781zbMath1462.62339OpenAlexW3132806789MaRDI QIDQ2660025

Shaoxin Hong, Zhengyi Zhang, Zong-Wu Cai

Publication date: 29 March 2021

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://www2.ku.edu/~kuwpaper/2021Papers/202101.pdf

zbMATH Keywords

nonstationarityspecification testheteroskedasticitypredictive regressionsCramér-von Mises test statistic

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15) General second-order stochastic processes (60G12) General nonlinear regression (62J02)

Cites Work

• A consistent test of functional form via nonparametric estimation techniques
• A specification test for nonlinear nonstationary models
• Consistent model specification tests for time series econometric models
• A perspective on recent methods on testing predictability of asset returns
• Nonstationary nonlinear heteroskedasticity.
• Testing predictive regression models with nonstationary regressors
• TESTING INSTABILITY IN A PREDICTIVE REGRESSION MODEL WITH NONSTATIONARY REGRESSORS
• Efficient estimation of conditional variance functions in stochastic regression
• Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
• Non‐stationary non‐parametric volatility model
• A reexamination of stock return predictability

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