Testing against nonstationary volatility in time series

C-Tier
Journal: Economics Letters
Year: 2008
Volume: 101
Issue: 3
Pages: 288-292

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

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

Abstract

The CUSUMSQ test of homoskedasticity is shown in the autoregression model to be consistent against a broad range of nonstationary volatility specification recently studied in the literature. The limit distribution is derived, and numerical examples are presented to illustrate the theoretical results obtained.

Technical Details

RePEc Handle
repec:eee:ecolet:v:101:y:2008:i:3:p:288-292
Journal Field
General
Author Count
1
Added to Database
2026-01-29