A test of conditional heteroscedasticity in time series

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	A test of conditional heteroscedasticity in time series
	Chen, M; An, HZ
	1999
发表期刊	SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY
ISSN	1006-9283
卷号	42 期号:1 页码:26-37
摘要	A new test of conditional heteroscedasticity for time series is proposed. The new testing method is based on a goodness of fit type test statistics and a Cramer-von Mises type test statistic. The asymptotic properties of the new test statistic is establised. The results demonstrate that such a test is consistent.
关键词	nonlinear time series model the conditional heteroscedasticity hypothesis test
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000078523500004
出版者	SCIENCE PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/14454
专题	应用数学研究所
通讯作者	Chen, M
作者单位	1.Acad Sinica, Inst Syst Sci, Beijing 100080, Peoples R China 2.Acad Sinica, Inst Appl Math, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Chen, M,An, HZ. A test of conditional heteroscedasticity in time series[J]. SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY,1999,42(1):26-37.
APA	Chen, M,&An, HZ.(1999).A test of conditional heteroscedasticity in time series.SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY,42(1),26-37.
MLA	Chen, M,et al."A test of conditional heteroscedasticity in time series".SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY 42.1(1999):26-37.