Testing conditional heteroscedasticity with systematic sampling of time series

• Type: Article in International Scientific Journal
• Date: 2023

Authors

Paulo Teles (Author) FEP

Journal

Title: Communications in Statistics - Theory and Methods

Vol. 52 No. 12

Pages: 5427-5450

ISSN: 0361-0926

Publisher: Taylor & Francis

Indexing

ISI Web of Knowledge - 1 Citation

Scopus - 1 Citation

Other information

Authenticus ID: P-00V-TK6

DOI: 10.1080/03610926.2021.2008976

Abstract (EN): It is well known that conditional heteroscedasticity is exhibited by many economic and financial time series such as stock prices or returns. Empirical analysis is often based on a subseries obtained through systematically sampling from an underlying time series and we analyze how that can affect testing for heteroscedasticity. The results show the distribution of the test statistics is changed by systematic sampling, causing a serious power loss that increases with the sampling interval. Consequently, the tests often fail to reject the hypothesis of no conditional heteroscedasticity, leading to the wrong decision and missing the true nature of the data-generating process.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 24