Davidson, Russel; Monticini, Andrea - Dipartimenti e Istituti di Scienze Economiche, … - 2014
In many, if not most, econometric applications, it is impossible to estimate consistently the elements of the white-noise process or processes that underlie the DGP. A common example is a regression model with heteroskedastic and/or autocorrelated disturbances,where the heteroskedasticity and...