A score statistic for testing the presence of a stochastic trend in conditional variances
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Publication:2127331
DOI10.1016/j.econlet.2022.110394zbMath1490.62215OpenAlexW4213061072MaRDI QIDQ2127331
B. P. M. McCabe, Yongmiao Hong, Jiajing Sun, Oliver B. Linton
Publication date: 20 April 2022
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2022.110394
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Uses Software
Cites Work
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