Conditional homoscedasticity test in time series with dependent innovations
Kilani Ghoudi – United Arab Emirates University, United Arab Emirates
Using a functional limits of certain cumulative residual processes, the talk proposes several tests for examining hypotheses about conditional variance functions for a time series with martingale innovations.
Resampling techniques used to compute P-values and critical values of the proposed tests are also discussed.
A simulation study is presented to demonstrate the behavior of the proposed tests in small sample situations.
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