Heteroscedasticity in Models with Lagged Dependent Variables
From MaRDI portal
Recommendations
- Testing for heteroscedasticity in a dynamic simultaneous equation model
- A note on linear heteroscedasticity models
- Stochastic regression model with heteroscedastic disturbance
- The Effect of Non Independence of Explanatory Variables and Error Term and Heteroskedasticity in Stochastic Regression Models
- ON THE STABILITY OF A HETEROSCEDASTIC PROCESS
Cited in
(14)- Estimation of multivariate non-linear time series models
- Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator
- Statistical inference for autoregressive models under heteroscedasticity of unknown form
- scientific article; zbMATH DE number 5717495 (Why is no real title available?)
- Heteroskedasticity-robust testing for a fractional unit root
- Testing for heteroscedasticity in a dynamic simultaneous equation model
- ON THE STABILITY OF A HETEROSCEDASTIC PROCESS
- Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
- Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
- The Effect of Non Independence of Explanatory Variables and Error Term and Heteroskedasticity in Stochastic Regression Models
- An analogue model of phase-averaging procedures
- Computer automation of general-to-specific model selection procedures
- Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
This page was built for publication: Heteroscedasticity in Models with Lagged Dependent Variables
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3313174)