- Tytuł:
- Testing for a difference between conditional variance functions of nonlinear time series
- Autorzy:
-
Ćwik, J.
Koronacki, J.
Mielniczuk, J. - Powiązania:
- https://bibliotekanauki.pl/articles/205552.pdf
- Data publikacji:
- 2000
- Wydawca:
- Polska Akademia Nauk. Instytut Badań Systemowych PAN
- Tematy:
-
conditional variance
homogeneity test for conditional variances
nonlinear time series
nonparametric autoregression
volatility - Opis:
- In this report, the problem of testing for a difference between conditional variance fnuctions (or volatilites) 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 homnoscedastic erroos as well as for some types of differences in heteooscedasticity. Moreover, interesting properties of several estimators of conditional mean, variance and fourth moment functions are empirically found too.
- Źródło:
-
Control and Cybernetics; 2000, 29, 1; 33-50
0324-8569 - Pojawia się w:
- Control and Cybernetics
- Dostawca treści:
- Biblioteka Nauki
Artykuł