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Mixing conditions, central limit theorems, and invariance principles : a survey of the literature with some new results on heteroscedastic sequences
Kourogenis, Nikolaos; Pittis, Nikitas - In: Econometric reviews 30 (2011) 1, pp. 88-108
Persistent link: https://www.econbiz.de/10008990458
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A new approach to the asymptotics of HAC robust testing in econometrics
Kiefer, Nicholas Maximilian; Vogelsang, Timothy J. - 2000
Persistent link: https://www.econbiz.de/10001458269
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Bayesian inference for the mixed conditional heteroskedasticity model
Bauwens, Luc (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003296223
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Bayesian inference for the mixed conditional heteroskedasticity model
Bauwens, Luc (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003311396
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Bayesian inference for the mixed conditional heteroskedasticity model
Bauwens, Luc (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003396145
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Panel data models with spatially correlated and heteroscedastic innovations : large and small sample results
Rodrigues, Paulo Jorge Maurício - 2007
Persistent link: https://www.econbiz.de/10003583088
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Bayesian inference for the mixed conditional heteroskedasticity model
Bauwens, Luc; Rombouts, Jeroen V. K. - In: The econometrics journal 10 (2007) 2, pp. 408-425
Persistent link: https://www.econbiz.de/10003560012
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Mixing Conditions, Central Limit Theorems and Invariance Principles : A Survey of the Literature with Some New Results on Heteroscedastic Sequences
Kourogenis, Nikolaos - 2009
has just barely infinite variance, since this case is relevant to econometrics applications that involve high …
Persistent link: https://www.econbiz.de/10012719662
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Misspecified heteroskedasticity in the panel probit model : a small sample comparison of GMM and SML estimators
Inkmann, Joachim - 1999
. The GMM estimators outperform SML in the presence of misspecification in terms of multiplicative heteroskedasticity. This … holds in particular for the three-stage GMM estimator. Allowing for heteroskedasticity over time increases the robustness … with respect to misspecification in terms of ultiplicative heteroskedasticity. An application to the product innovation …
Persistent link: https://www.econbiz.de/10011545114
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Contagion, spillover, and interdependence
Rigobón, Roberto - In: Economia : journal of the Latin American and Caribbean … 19 (2019) 2, pp. 69-99
Persistent link: https://www.econbiz.de/10012037367