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Identifying factor-augmented vector autoregression models via changes in shock variances

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The causality direction of the stock market-growth nexus : application of GMM dynamic panel data and the panel Granger non-causality tests

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Estimating gravity equation models in the presence of sample selection and heteroscedasticity

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TCMB faiz kararlarının hisse senedi piyasaları üzerine etkisi

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Separate estimation of spatial dependence parameters and variance parameters in a spatial model

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Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity

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Heteroskedasticity-robust semi-parametric GMM estimation of a spatial model with space-varying coefficients

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Outer-product-of-gradients tests for spatial autoregressive models

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Estimation of fixed effects spatial dynamic panel data models with small T and unknown heteroskedasticity

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Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances

Catania, Leopoldo - 2016

We propose a new class of models specifi cally tailored for spatio-temporal data analysis. To this end, we generalize the spatial autoregressive model with autoregressive and heteroskedastic disturbances, i.e. SARAR(1,1), by exploiting the recent advancements in Score Driven (SD) models...

Persistent link: https://www.econbiz.de/10012995787