The Use of Multivariate Generated Regressors in the Presence of Heteroskedasticity

DOI10.1081/STA-120022247zbMath1184.62089OpenAlexW2094077455MaRDI QIDQ4412410

J. N. Lye, Joseph G. Hirschberg, Kathy J. Hayes

Publication date: 14 July 2003

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

Full work available at URL: https://doi.org/10.1081/sta-120022247

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Applications of statistics (62P99)

Cites Work

• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Estimation and Inference for Heteroscedastic Systems of Equations
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Unnamed Item

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