| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5061851 | Economics Letters | 2008 | 5 Pages |
Abstract
The CUSUMSQ test of homoskedasticity is shown in the autoregression model to be consistent against a broad range of nonstationary volatility specification recently studied in the literature. The limit distribution is derived, and numerical examples are presented to illustrate the theoretical results obtained.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ke-Li Xu,