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Non‐Parametric Testing of Conditional Variance Functions in Time Series

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  • Naâmane Laïb

Abstract

This paper proposes a non‐parametric test for examining hypotheses about variance functions under stationarity and ergodicity conditions. Special cases of nonlinear time series models are studied, and it is found that under mild conditions the test is consistent. Its power is examined in a simulation study.

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  • Naâmane Laïb, 2003. "Non‐Parametric Testing of Conditional Variance Functions in Time Series," Australian & New Zealand Journal of Statistics, Australian Statistical Publishing Association Inc., vol. 45(4), pages 461-475, December.
    • Handle: RePEc:bla:anzsta:v:45:y:2003:i:4:p:461-475
    DOI: 10.1111/1467-842X.00298
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    Cited by:

    1. Christopher Withers & Saralees Nadarajah, 2008. "Edgeworth expansions for functions of weighted empirical distributions with applications to nonparametric confidence intervals," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 20(8), pages 751-768.

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