On the Properties of the Likelihood Function of Spanos' Conditional t Heteroskedastic Model

DOI10.1080/03610926.2012.667482zbMath1462.62168OpenAlexW1990681008MaRDI QIDQ2815386

Jiro Hodoshima

Publication date: 28 June 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.667482

zbMATH Keywords

conditional variancedegrees of freedom\(t\) distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05)

Cites Work

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• Posterior inference on the degrees of freedom parameter in multivariate- \(t\) regression models
• Generalized autoregressive conditional heteroscedasticity
• On theory testing in econometrics. Modeling with nonexperimental data
• Exogeneity
• The Student's t
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
• Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations
• Linear Statistical Inference and its Applications

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