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Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity

Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … conditional heteroscedasticity Lagrange multiplier (ARCHLM) techniques in conducting the empirical analysis. Descriptive …, estimates from the ARCHLM model provide evidence of heteroscedasticity in most of the sectors’ returns. Overall results from the …

Persistent link: https://www.econbiz.de/10011862130

Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton - In: Journal of economic surveys 30 (2016) 2, pp. 377-392

Persistent link: https://www.econbiz.de/10011553496

Adaptive estimation of heteroskedastic error component models

Baltagi, Badi H.; Bresson, Georges; Pirotte, Alain - In: Econometric reviews 24 (2005) 1, pp. 39-58

Persistent link: https://www.econbiz.de/10002655589

Is adaptive estimation useful for panel models with heteroskedasticity in the individual specific error component? : Some Monte Carlo evidence

Roy, Nilanjana - In: Econometric reviews 21 (2002) 2, pp. 189-203

Persistent link: https://www.econbiz.de/10001704798

Estimation of a multivariate cointegrated time series model with conditionally heteroskedastic disturbances

Carstensen, Kai - 1999 - (Rev. version)

Persistent link: https://www.econbiz.de/10001465498

Co-Integration Rank Testing under Conditional Heteroskedasticity

Cavaliere, Giuseppe - 2009

We analyse the properties of the conventional Gaussian-based co-integrating rank tests of Johansen (1996) in the case where the vector of series under test is driven by globally stationary, conditionally heteroskedastic (martingale difference) innovations. We first demonstrate that the limiting...

Persistent link: https://www.econbiz.de/10013159424

Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors

Gorgi, Paolo; Koopman, Siem Jan; Schaumburg, Julia - 2021

We introduce a new and general methodology for analyzing vector autoregressive models with time-varying coefficient matrices and conditionally heteroskedastic disturbances. Our proposed method is able to jointly treat a dynamic latent factor model for the autoregressive coefficient matrices and...

Persistent link: https://www.econbiz.de/10013220281

Nonlinear cointegrating power function regression with endogeneity

Hu, Zhishui; Phillips, Peter C. B.; Wang, Qiying - 2019

Persistent link: https://www.econbiz.de/10012132062

Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models

Boswijk, Herman Peter; Cavaliere, Giuseppe; De Angelis, Luca - In: Econometric reviews 42 (2023) 9/10, pp. 725-757

Persistent link: https://www.econbiz.de/10014420355

Linear regression limit theory for nonstationary panel data

Phillips, Peter C. B.; Moon, Hyungsik R. - 1999

Persistent link: https://www.econbiz.de/10001389313

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