Variance estimators in the chu‐white test for structural change
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Publication:4232104
DOI10.1080/03610919808813523zbMath0929.62014MaRDI QIDQ4232104
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Publication date: 30 January 2000
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610919808813523
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- A trend-resistant test for structural change based on OLS residuals
- Tests of Equality Between Sets of Coefficients in Two Linear Regressions
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Fractional differencing
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- The Cusum Test with Ols Residuals