Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities

DOI10.1080/07350015.2016.1149072MaRDI QIDQ6623182zbMATH OpenFDO

Authors George Milunovich, Minxian Yang

Publication date 23 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2016.1149072

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• Estimating a class of triangular simultaneous equations models without exclusion restrictions
• Estimating Regression Models with Multiplicative Heteroscedasticity
• scientific article; zbMATH DE number 1118847 (Why is no real title available?)
• scientific article; zbMATH DE number 7096038 (Why is no real title available?)
• Identifiability in Linear Models
• Identification in Parametric Models
• Identification, estimation and testing of conditionally heteroskedastic factor models
• MIDAS Regressions: Further Results and New Directions
• On identifying structural VAR models via ARCH effects
• Predicting volatility: getting the most out of return data sampled at different frequencies
• Semiparametric estimation of a heteroskedastic sample selection model
• Structural vector autoregressions with Markov switching
• Structural Vector Autoregressions With Nonnormal Residuals

This page was built for publication: Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6623182)