A comparison of the power of some tests for conditional heteroscedasticity

Anne Peguin-Feissolle (1)

1 GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille

This paper compares the power in small samples of different tests for conditional heteroscedasticity. Two new tests, based on neural networks, are proposed: the main interest in them arises from the fact that they do not require the exact specification of the conditional variance under the alternative.

Mots clés: TESTING; ECONOMETRICS; HETEROSKEDASTICITY

Domaines: Economies et finances

Anne Peguin-Feissolle. A comparison of the power of some tests for conditional heteroscedasticity. Economics Letters, 1999, 63 (1), pp.5-17. ⟨halshs-00390157⟩