Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator
DOI10.1016/J.ECONLET.2009.10.008zbMATH Open1185.62158OpenAlexW2083602761MaRDI QIDQ2270348FDOQ2270348
Authors: Nikitas Pittis, Nikolaos C. Kourogenis 
Publication date: 18 March 2010
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2009.10.008
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Cites Work
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
- Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
- Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
- Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
- On the Stable Paretian Behavior of Stock-Market Prices
- Heteroscedasticity in Models with Lagged Dependent Variables
- Testing for a unit root under errors with just barely infinite variance
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