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LM tests in the presence of non-normal error distributions
Furno, Marilena - In: Econometric theory 16 (2000) 2, pp. 249-261
Persistent link: https://www.econbiz.de/10001483372
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A strong consistency proof for heteroskedasticity and autocorrelation consistent covariance matrix estimators
Jong, Robert M. de - In: Econometric theory 16 (2000) 2, pp. 262-268
Persistent link: https://www.econbiz.de/10001483373
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ARMA representation of squared Markov switching heteroskedastic models - solution
Distaso, Walter - In: Econometric theory 19 (2003) 2, pp. 412-413
Persistent link: https://www.econbiz.de/10001745838
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HAC estimation by automated regression
Phillips, Peter C. B. - In: Econometric theory 21 (2005) 1, pp. 116-142
Persistent link: https://www.econbiz.de/10002674646
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Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian; Zakoïan, Jean-Michel - In: Econometric theory 39 (2023) 5, pp. 1067-1092
Persistent link: https://www.econbiz.de/10014436596
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A powerful subvector Anderson-Rubin test in linear instrumental variables regression with conditional heteroskedasticity
Guggenberger, Patrik; Kleibergen, Frank; Mavroeidis, … - In: Econometric theory 40 (2024) 5, pp. 957-1002
Persistent link: https://www.econbiz.de/10015154314
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Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
Escanciano, J. Carlos - In: Econometric theory 26 (2010) 3, pp. 744-773
Persistent link: https://www.econbiz.de/10003992428
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LAD asymptotics under conditional heteroskedasticity with possibly infinite error densities
Cho, Jin Seo; Han, Chirok; Phillips, Peter C. B. - In: Econometric theory 26 (2010) 3, pp. 953-962
Persistent link: https://www.econbiz.de/10003992445
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Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models
Chan, Ngai Hang; Peng, Liang; Zhang, Dabao - In: Econometric theory 27 (2011) 1, pp. 154-177
Persistent link: https://www.econbiz.de/10009127139
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Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels
Sun, Yixiao; Phillips, Peter C. B.; Jin, Sainan - In: Econometric theory 27 (2011) 6, pp. 1320-1368
Persistent link: https://www.econbiz.de/10009489710