A note on linear heteroscedasticity models

DOI10.1016/0165-1765(86)90095-9MaRDI QIDQ899893zbMATH OpenOpenAlexFDO

Authors Joel Hasbrouck

Publication date 1 January 2016

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(86)90095-9

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A note on linear heteroscedasticity models
• Large Sample Properties of Generalized Method of Moments Estimators

Cited in

(8)

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• A note on linear heteroscedasticity models
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• On the limit in the equivalence between heteroscedastic regression and filtering model.
• Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator
• Heteroscedasticity in Models with Lagged Dependent Variables
• Empirical distribution function under heteroscedasticity
• scientific article; zbMATH DE number 2231204 (Why is no real title available?)

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