A score statistic for testing the presence of a stochastic trend in conditional variances
Published in Economics Letters, 2022
Abstract
This article proposes a score test statistic for whether there is a stochastic trend in conditional variances of a GARCH process. We derive its null limiting distribution and demonstrate its properties through simulation and empirical studies.
Recommended citation: Hong, Y., Linton, O., McCabe, B., & Sun, J. (2022). "A score statistic for testing the presence of a stochastic trend in conditional variances." Economics Letters, 213, 110394.
Download Paper | Download Bibtex