Groupe d’études et de recherche en analyse des décisions

Conditional homoscedasticity test in time series with dependent innovations

Kilani Ghoudi United Arab Emirates University, Émirats arabes unis

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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