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Robustifying Glejser test of heteroskedasticity

Im, Kyung So - In: Journal of Econometrics 97 (2000) 1, pp. 179-188

Persistent link: https://www.econbiz.de/10005228826

More efficient estimation under non-normality when higher moments do not depend on the regressors, using residual augmented least squares

Im, Kyung So; Schmidt, Peter - In: Journal of Econometrics 144 (2008) 1, pp. 219-233

Under normality, least squares is efficient. However, if the errors are not normal, we can gain efficiency from the assertion that higher moments do not depend on the regressors. In this paper, we show how the assumption that higher moments do not depend on the regressors can be exploited in a...

Persistent link: https://www.econbiz.de/10005286055

Testing for unit roots in heterogeneous panels

Im, Kyung So; Pesaran, M. Hashem; Shin, Yongcheol - In: Journal of Econometrics 115 (2003) 1, pp. 53-74

Persistent link: https://www.econbiz.de/10005239026

Efficient estimation of panel data models with strictly exogenous explanatory variables

So Im, Kyung; Ahn, Seung C.; Schmidt, Peter; … - In: Journal of Econometrics 93 (1999) 1, pp. 177-201

Persistent link: https://www.econbiz.de/10005228848