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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
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Nonlinear cointegrating power function regression with endogeneity
Hu, Zhishui; Phillips, Peter C. B.; Wang, Qiying - 2019
Persistent link: https://www.econbiz.de/10012132062
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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
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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
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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
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Estimation of a multivariate cointegrated time series model with conditionally heteroskedastic disturbances
Carstensen, Kai - 1999 - (Rev. version)
Persistent link: https://www.econbiz.de/10001465498
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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
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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
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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
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Undersmoothing and bias corrected functional estimation
Newey, Whitney K.; Hsieh, Fushing; Robins, James - 1998
Persistent link: https://www.econbiz.de/10001381656