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  • Search: subject:"Robust Linearity Test"
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Subject
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Heteroskedasticity Consistent Covariance Matrix Estimator 1 Monte Carlo Simulation 1 Robust Linearity Test 1 Time Series 1 WildBootstrap 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
Author
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Pavlidis, E 1 Paya, I 1 Peel, D 1
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Department of Economics, Management School 1
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Working Papers / Department of Economics, Management School 1
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RePEc 1
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Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form
Pavlidis, E; Paya, I; Peel, D - Department of Economics, Management School - 2009
The specification of Smooth Transition Regression models consists of a sequence of tests, which are typically based on the assumption of i.i.d. errors. In this paper we examine the impact of conditional heteroskedasticity and investigate the performance of several heteroskedasticity robust...
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