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econ.EM2019
Robust tests for ARCH in the presence of the misspecified conditional mean: A comparison of nonparametric approches
Daiki Maki, Yasushi Ota
This study compares statistical properties of ARCH tests that are robust to the presence of the misspecified conditional mean. The approaches employed in this study are based on tw…
econ.EM2019
Testing for time-varying properties under misspecified conditional mean and variance
Daiki Maki, Yasushi Ota
This study examines statistical performance of tests for time-varying properties under misspecified conditional mean and variance. When we test for time-varying properties of the c…