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- W3145979343 abstract "This paper proposes some novel Hausman tests to examine the error distribution in conditionally heteroskedastic models. Unlike the existing tests, all Hausman tests are easy-to-implement with the limiting null distribution of $chi^{2}$, and moreover, they are consistent and able to detect the local alternative of order n−1=2. The scope of the Hausman test covers all Generalized error distributions and Student’s t distributions. The performance of each Hausman test is assessed by simulated and real data sets." @default.
- W3145979343 created "2021-04-13" @default.
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- W3145979343 date "2015-09-30" @default.
- W3145979343 modified "2023-09-27" @default.
- W3145979343 title "Hausman tests for the error distribution in conditionally heteroskedastic models" @default.
- W3145979343 hasPublicationYear "2015" @default.
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