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  • Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects 

    Dufour, Jean Marie; Khalaf, Lynda; Bernard, Jean-Thomas; GENEST, Ian (Université de Montréal. Département de sciences économiques., 2001)
    A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literature. Although a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally based on asymptotic approximations ...