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On the treatment of heteroscedasticity in crop yield data

Ker, Alan P.; Tolhurst, Tor N. - In: American journal of agricultural economics 101 (2019) 4, pp. 1247-1261

Persistent link: https://www.econbiz.de/10012115344

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

An intersection-union test for the sharpe ratio

Frahm, Gabriel - In: Risks : open access journal 6 (2018) 2, pp. 1-13

An intersection–union test for supporting the hypothesis that a given investment strategy is optimal among a set of alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy. The intersection–union test takes serial dependence into account and...

Persistent link: https://www.econbiz.de/10011866388

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

Identification and estimation using heteroscedasticity without instruments : the binary endogenous regressor

Lewbel, Arthur - 2016

Persistent link: https://www.econbiz.de/10011712374

Improvized implied volatility function and nonparametric approach to unbiased estimation

Muhammad, Atif Sattar; Zhang, Hailiang; Kanwal, Samra; … - In: International journal of financial engineering 10 (2023) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10014251229

GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors

Jin, Fei; Wang, Yuqin - In: Econometric reviews 41 (2022) 6, pp. 652-674

Persistent link: https://www.econbiz.de/10013364900

A unified unit root test regardless of intercept

Yang, Bingduo; Liu, Xiaohui; Long, Wei; Peng, Liang - In: Econometric reviews 42 (2023) 6, pp. 540-555

Persistent link: https://www.econbiz.de/10014305575

Simulation-based robust and adaptive optimization method for heteroscedastic transportation problems

Gu, Ziyuan; Li, Yifan; Saberi, Meead; Liu, Zhiyuan - In: Transportation science 58 (2024) 4, pp. 860-875

Persistent link: https://www.econbiz.de/10014636747

Identification based on higher moments

Lewis, Daniel J. - 2024

Identification based on higher moments has drawn increasing theoretical attention and been widely adopted in empirical practice in macroeconometrics in the last two decades. This article reviews two parallel strands of the literature: identification strategies based on heteroskedasticity and...

Persistent link: https://www.econbiz.de/10014480567