A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models
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Cites work
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- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Disturbance smoother for state space models
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 1104922 (Why is no real title available?)
- scientific article; zbMATH DE number 2199143 (Why is no real title available?)
- scientific article; zbMATH DE number 3335601 (Why is no real title available?)
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
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Cited in
(4)- A Joint Score Test for Heteroscedasticity in the Two Way Error Components Model
- Testing for conditional heteroscedasticity in the components of inflation
- An optimal test against a random walk component in a non‐orthogonal unobserved components model
- A note on portmanteau tests for conditional heteroscedastistic models
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