Testing for a difference between conditional variance functions of nonlinear time series
J. Ćwik , Jan Mielniczuk , Jacek Koronacki
AbstractIn this report, the problem of testing for a difference between conditional variance functions (or volatilities) of two independent nonlinear time series is investigated by means of an extensive simulation study. Empirical results on the properties of the test proposed confirm the test’s validity, at least for some types of heteroscedasticity as contrasted with homoscedastic errors as well as for some types of differences in heteroscedasticity. Moreover, interesting properties of several estimators of conditional mean, variance and fourth moment functions are empirically found, too.
|Journal series||Control and Cybernetics, [CONTROL AND CYBERNETICS], ISSN 0324-8569, [0484-8569]|
|Publication size in sheets||0.9|
|ASJC Classification||; ;|
|Publication indicators||= 0; : 2000 = 0.604; : 2006 = 0.202 (2) - 2007=0.513 (5)|
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