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The Use of Box-Cox Transformations in Regression Models with Heteroskedastic Autoregressive Residuals
Gaudry, M.J.I.; Dagenais, M.G. - Département de Sciences Économiques, Université de … - 1978
Persistent link: https://www.econbiz.de/10005545795
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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
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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
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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
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The Wild Bootstrap, Tamed at Last.
Davidson, R.; Flachaire, E. - Groupement de Recherche en Économie Quantitative … - 1999
In this paper we are interested in inference based on heteroskedasticity consistent covariance matrix estimators, for … methos, show that all wild bootstraps tests exhibit substantial size distortion if the error terms are skewed and strongly …
Persistent link: https://www.econbiz.de/10005479073
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A Comment on a Paper of Cribari-Neto and Zarkos.
Flachaire, E. - Groupement de Recherche en Économie Quantitative … - 1999
heteroskedasticity robust covariance matrix estimator. We show that their bootstrap estimator can be calculated directly, without …
Persistent link: https://www.econbiz.de/10005669447
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Structural vector autoregressions with smooth transition in variances : the interaction between US monetary policy and the stock market
Lütkepohl, Helmut; NetŠunajev, Aleksei - 2014
In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a … standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance … used conventional identification schemes in this context are rejected by the data if heteroskedasticity is allowed for …
Persistent link: https://www.econbiz.de/10010361372
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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
Persistent link: https://www.econbiz.de/10010233639
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Structural vector autoregressions checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
Persistent link: https://www.econbiz.de/10010233991
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Structural vector autoregressions with smooth transition in variances : the interaction between US monetary policy and the stock market
Lütkepohl, Helmut; Netšunajev, Aleksei - 2014
In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a … standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance … used conventional identification schemes in this context are rejected by the data if heteroskedasticity is allowed for …
Persistent link: https://www.econbiz.de/10010364697