Estimation and testing in time-series regression models with heteroscedastic disturbances

DOI10.1016/0304-4076(82)90106-3zbMath0506.62068OpenAlexW1985237015WikidataQ126851068 ScholiaQ126851068MaRDI QIDQ1836957

John G. Cragg

Publication date: 1982

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(82)90106-3

zbMATH Keywords

testsinstrumental variable estimatorconsistent estimationARMAX modelsBicker-White approachmoving averages of heteroscedastic disturbancestime-series regression models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (2)

ON THE STABILITY OF A HETEROSCEDASTIC PROCESS ⋮ Asymptotics of the signed-rank estimator under dependent observations

Cites Work

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• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Nonlinear Regression with Dependent Observations
• Instrumental Variables Regression with Independent Observations
• Nonlinear Regression on Cross-Section Data
• The Robustness of Some Standard Tests for Autocorrelation and Heteroskedasticity when Both Problems Are Present
• Some Estimators for a Linear Model with Random Coefficients

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