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Testing Heteroskedasticity for Predictive Regressions With Nonstationary Regressors

Author

Listed:
  • Shaoxin Hong

    (Center for Economic Research, Shandong University, Jinan 250100, Shandong, China)

  • Zhengyi Zhang

    (International School of Economics and Management, Capital University of Economics and Business, Beijing, Beijing 100070, China)

  • Zongwu Cai

    (Department of Economics, The University of Kansas, Lawrence, KS 66045, USA)

Abstract

In this paper, we propose the Cramer-von Mises type test statistic for testing heteroskedasticity in predictive regression when regressors are nonstationary. A Monte Carlo simulation study is conducted to illustrate the finite sample performance of the proposed test statistic and a real empirical example is examined.

Suggested Citation

  • Shaoxin Hong & Zhengyi Zhang & Zongwu Cai, 2021. "Testing Heteroskedasticity for Predictive Regressions With Nonstationary Regressors," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202101, University of Kansas, Department of Economics, revised Jan 2021.
    • Handle: RePEc:kan:wpaper:202101
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    File URL: http://www2.ku.edu/~kuwpaper/2021Papers/202101.pdf
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    More about this item

    Keywords

    Cramer-von Mises test statistic; Heteroskedasticity; Nonstationarity; Predictive regressions; Specification test.;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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