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

DOI10.1017/S0266466601171069zbMath0976.62087MaRDI QIDQ2716439

Q. Li, Cheng Hsiao

Publication date: 8 January 2002

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

tablesbootstrapMonte Carlo resultsheteroskedasticitytime-series regression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

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