Heteroscedasticity in Models with Lagged Dependent Variables

DOI10.2307/1912061zbMath0531.62098OpenAlexW2062114817MaRDI QIDQ3313174

D. F. Nicholls, Adrian R. Pagan

Publication date: 1983

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912061

zbMATH Keywords

heteroscedasticitylagged dependent variablessimulation experiment

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

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