Seasonal Heteroskedasticity in Time Series Data: Modeling, Estimation, and Testing

Abstract

Seasonal heteroskedasticity refers to regular changes in variability over the calendar year. Models for two different forms of seasonal heteroskedasticity were recently proposed by Proietti and by Bell. We examine use of likelihood ratio tests with the models to test for the presence of seasonal heteroskedasticity, and use of model comparison statistics… (More)

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