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Enhanced routines for instrumental variables/GMM estimation and testing

Baum, Christopher F. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003535653

Quantile sieve estimates for time series

Franke, Jürgen (contributor); … - 2007

We consider the problem of estimating the conditional quantile of a time series at time t given observations of the same and perhaps other time series available at time t - 1. We discuss sieve estimates which are a nonparametric versions of the Koenker-Bassett regression quantiles and do not...

Persistent link: https://www.econbiz.de/10003422933

An improved generalized spectral test for conditional mean models in time series with conditional heteroskedasticity of unknown form

Hong, Yongmiao; Lee, Yoon-jin - In: Econometric theory 23 (2007) 1, pp. 106-154

Persistent link: https://www.econbiz.de/10003407425

Generalized spectral tests for conditional mean models in time series with conditional heteroscedasticity of unknown form

Hong, Yongmiao; Lee, Yoon-jin - In: The review of economic studies 72 (2005) 2, pp. 499-541

Persistent link: https://www.econbiz.de/10002692476

Tail estimation and conditional modeling of heteroscedastic time-series

Paolella, Marc S. - 1999 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001388258

Monitoring constancy of variance in conditionally heteroskedastic time series

Horváth, Lajos; Kokoszka, Piotr; Zhang, Aonan - In: Econometric theory 22 (2006) 3, pp. 373-402

Persistent link: https://www.econbiz.de/10003307471

Heteroscedasticity testing after outlier removal

Berenguer-Rico, Vanessa; Wilms, Ines - In: Econometric reviews 40 (2021) 1, pp. 51-85

Persistent link: https://www.econbiz.de/10012483796

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

Double AR model without intercept : an alternative to modeling nonstationarity and heteroscedasticity

Li, Dong; Shaojun, Guo; Zhu, Ke - In: Econometric reviews 38 (2019) 3, pp. 319-331

Persistent link: https://www.econbiz.de/10012181294

Autoregressive conditional heteroskedasticity and changes in regime

Hamilton, James D.; Susmel, Raul - 1993

Persistent link: https://www.econbiz.de/10000877974

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