Testing constancy of the error covariance matrix in vector models
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Cites work
- scientific article; zbMATH DE number 3179103 (Why is no real title available?)
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- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- A Simple Test for Heteroscedasticity and Random Coefficient Variation
- A test for constant correlations in a multivariate GARCH model
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Diagnostic Checking in a Flexible Nonlinear Time Series Model
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Testing linearity against smooth transition autoregressive models
- Testing the constancy of regression parameters against continuous structural change
Cited in
(6)- Vector attenuation bias in the classical errors-in-variables model
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- Global hemispheric temperatures and co-shifting: a vector shifting-mean autoregressive analysis
- A test for constant correlations in a multivariate GARCH model
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