1999/05/01 by Valentina Corradi, Halbert White · 1 citation
Computer Science · Mathematics · #Autoregressive conditional heteroskedasticity #Computer science #Conditional variance #Data mining #Econometrics #Heteroscedasticity #Mathematics #Null (SQL) #Null distribution #Null hypothesis #Parametric statistics #Statistical Methods and Inference #Statistical and Computational Modeling #Statistical hypothesis testing #Statistics #Test statistic #Variance (accounting)
paper · doi:10.1111/1467-9892.00136
crossref issued 1999/05/01 · crossref published 1999/05/01 · crossref published-print 1999/05/01 · openalex publication_date 1999/05/01 · crossref published-online 2002/01/04 · crossref created 2003/03/12 · crossref deposited 2023/09/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/06/26 · crossref indexed 2026/08/06
We propose specification tests for the variance of a diffusion that do not require complete knowledge of the functional form under the null. We first propose a test for the constancy of the variance that, under the null of constancy, has a limiting normal distribution, while under the alternative of either unconditional or conditional heteroskedasticity it diverges at an appropriate rate. We then propose a test for the null of a parametric specification against the alternative of a more general functional form. Under the null, the test has a well‐defined limiting distribution, normal in the unconditional and mixed normal in the conditional heteroskedasticity case; under the alternative, it diverges.