WESTCHOTEST—Robust serial correlation test
Posted: Mon Apr 17, 2023 10:59 am
@WestChoTest computes the modified Ljung-Box test, robust to heteroscedasticity, proposed in West and Cho(1995), "The predictive ability of several models of exchange rate volatility," Journal of Econometrics, vol. 69, no 2, 367-391. (Note that this test is not the main point of the paper). This is used extensively in the ARCH, GARCH and Volatility Models e-course.
Detailed description
Detailed description