Integrated Conditional Moment Testing of Conditional Heteroskedasticity Models∗
نویسنده
چکیده
In this paper we propose a consistent Integrated Conditional Moment (ICM) test of the functional form of a conditional heteroskedasticity model, for example a GARCH specification, which is asymptotically independent of the ICM test of the specification of the underlying conditional expectation model, under the null hypothesis that both models are correctly specified.
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