Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Testing for time-varying properties under misspecified conditional mean
  and variance   This study examines statistical performance of tests for time-varying
properties under misspecified conditional mean and variance. When we test for
time-varying properties of the conditional mean in the case in which data have
no time-varying mean but have time-varying variance, asymptotic tests have size
distortions. This is improved by the use of a bootstrap method. Similarly, when
we test for time-varying properties of the conditional variance in the case in
which data have time-varying mean but no time-varying variance, asymptotic
tests have large size distortions. This is not improved even by the use of
bootstrap methods. We show that tests for time-varying properties of the
conditional mean by the bootstrap are robust regardless of the time-varying
variance model, whereas tests for time-varying properties of the conditional
variance do not perform well in the presence of misspecified time-varying mean.

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The categories of this paper are: gr-qc
34
The categories of this paper are: chem-ph
37
The categories of this paper are: supr-con
16
The categories of this paper are: stat
11
The categories of this paper are: hep-lat
35
The categories of this paper are: mtrl-th
9
The categories of this paper are: nlin
1
The categories of this paper are: cs
21
The categories of this paper are: adap-org
0
The categories of this paper are: hep-ph
14
The categories of this paper are: math-ph
25
The categories of this paper are: patt-sol
12
The categories of this paper are: nucl-th
2
The categories of this paper are: math
36
The categories of this paper are: cmp-lg
33
The categories of this paper are: plasm-ph