Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (Q4031295): Difference between revisions

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+Regression Analysis when the Variance of the Dependent Variable is Proportional to the Square of its Expectation
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+Generalized autoregressive conditional heteroscedasticity
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+A Simple Test for Heteroscedasticity and Random Coefficient Variation
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+Multivariate regression models for panel data
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+Asymptotic efficiency in estimation with conditional moment restrictions
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+More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form
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+Misspecified models with dependent observations
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+A general approach to Lagrange multiplier model diagnostics
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+Modelling the persistence of conditional variances
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+Testing for multiplicative heteroskedasticity
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+Pseudo Maximum Likelihood Methods: Theory
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+Large Sample Properties of Generalized Method of Moments Estimators
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+ON THE FIRST–ORDER EFFICIENCY AND ASYMPTOTIC NORMALITY OF MAXIMUM LIKELIHOOD ESTIMATORS OBTAINED FROM DEPENDENT OBSERVATIONS
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+A note on Studentizing a test for heteroscedasticity
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+Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
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+Q4039873
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+ARMA MODELS WITH ARCH ERRORS
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+Maximum Likelihood Estimation of Misspecified Models
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+Instrumental Variables Regression with Independent Observations
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