An asymptotic test for constancy of the variance under short-range dependence
短程依赖下方差恒定性的渐近检验
We present a novel approach to test for heteroscedasticity of a nonstationary time series that is based on Gini’s mean difference of logarithmic local sample variances. In order to analyse the large sample behaviour of our test statistic, we establish new limit theorems for U-statistics of dependent triangular arrays. We derive the asymptotic distribution of the test statistic under the null hypothesis of a constant variance and show that the test is consistent against a…