We would like to thank Manuel Arellano, Yves Atchadé, Valentina Corradi, Giovanni Forchini, Sílvia Gonçalves, and Enrique Sentana for helpful comments. We are also grateful to four anonymous referees and a co-editor for many valuable suggestions. Financial support from FQRSC is gratefully acknowledged.
Testing for Common Conditionally Heteroskedastic Factors
Version of Record online: 13 NOV 2013
© 2013 The Econometric Society
Volume 81, Issue 6, pages 2561–2586, November 2013
How to Cite
Dovonon, P. and Renault, E. (2013), Testing for Common Conditionally Heteroskedastic Factors. Econometrica, 81: 2561–2586. doi: 10.3982/ECTA10082
- Issue online: 13 NOV 2013
- Version of Record online: 13 NOV 2013
- Manuscript received June, 2011; final revision received March, 2013.
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