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Dsdm: L-1, a Program for Box-Cox Transformations in Regression Models with Heteroskedastic and Autoregressive Residuals

Liem, T.C. - Département de Sciences Économiques, Université de … - 1979

Persistent link: https://www.econbiz.de/10005170720

Logiques et tests d'hypothèses : réflexions sur les problèmes mal posés en économétrie

Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2001

In this text, we review recent developments in econometrics from the viewpoint of statistical test theory. We first … identification problems may be present; (2) the construction of tests for nonparametric hypotheses, including procedures robust to … heteroskedasticity, non-normality or dynamic specification. We point out that these difficulties often originate from the ambition to …

Persistent link: https://www.econbiz.de/10005101036

On Regression-Based Tests for Seasonal Unit Roots in the Presence of Periodic Heteroscedasticity.

Burridge, P.; Taylor, A.M.R. - Department of Economics, University of Birmingham - 1999

In this paper, we analyse the behaviour of regression-based tests for seasonal unit roots when the error is … periodically heteroscedastic. We show, using the case of quaterly data to illustrate, that the limiting null distribution of tests …

Persistent link: https://www.econbiz.de/10005738174

A HETEROSCEDASTICITY DIAGNOSTIC BASED ON "CORRESTED" STANDARD ERRORS.

LEAMER, E.E. - Department of Economics, University of California-Los … - 1990

Persistent link: https://www.econbiz.de/10005633615

A Better Way to Bootstrap Pairs.

Flachaire, E. - Center for Operations Research and Econometrics (CORE), … - 1999

In this paper we are interested in heteroskedastic regression model s, for which an appropriate bootstrap method is bootstrapping pairs, proposed by Freedman (1981). We propose an ameliorate version of it, with better numerical performance.

Persistent link: https://www.econbiz.de/10005634231