A score statistic for testing the presence of a stochastic trend in conditional variances

C-Tier
Journal: Economics Letters
Year: 2022
Volume: 213
Issue: C

Authors (4)

Score contribution per author:

0.251 = (α=2.01 / 4 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This article proposes a score test statistic for whether there is a stochastic trend in conditional variances of a GARCH process. We derive its null limiting distribution and demonstrate its properties through simulation and empirical studies.

Technical Details

RePEc Handle
repec:eee:ecolet:v:213:y:2022:i:c:s0165176522000660
Journal Field
General
Author Count
4
Added to Database
2026-01-25