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Does correcting for heteroscedasticity help?

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  • Mishkin, Frederic S.

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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 34 (1990)
Issue (Month): 4 (December)
Pages: 351-356

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Handle: RePEc:eee:ecolet:v:34:y:1990:i:4:p:351-356

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  1. John Y. Campbell & Richard H. Clarida, 1985. "The Term Structure of Euromarket Interest Rates: An Empirical Investigation," Cowles Foundation Discussion Papers 772R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
  2. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October.
  3. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  4. Hardouvelis, Gikas A, 1988. " The Predictive Power of the Term Structure during Recent Monetary Regimes," Journal of Finance, American Finance Association, vol. 43(2), pages 339-56, June.
  5. Kenneth A. Froot & Paul Klemperer, 1989. "Exchange Rate Pass-Through When Market Share Matters," NBER Working Papers 2542, National Bureau of Economic Research, Inc.
  6. N. Gregory Mankiw & Matthew D. Shapiro, 1985. "Do We Reject Too Often? Small Sample Properties of Tests of Rational Expectations Models," NBER Technical Working Papers 0051, National Bureau of Economic Research, Inc.
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Cited by:
  1. Robert F. Stambaugh, . "Estimating Conditional Expectations When Volatility Fluctuates," Rodney L. White Center for Financial Research Working Papers 17-93, Wharton School Rodney L. White Center for Financial Research.
  2. Jeffrey A. Frankel & Cara S. Lown, 1991. "An indicator of future inflation extracted from the steepness of the interest rate yield curve along its entire length," Research Paper 9122, Federal Reserve Bank of New York.
  3. Drake, Leigh & Simper, Richard, 2002. "Economies of scale in UK building societies: A re-appraisal using an entry/exit model," Journal of Banking & Finance, Elsevier, vol. 26(12), pages 2365-2382.
  4. David Altig, 1990. "The case of the missing interest deductions: will tax reform increase U. S. saving rates?," Economic Review, Federal Reserve Bank of Cleveland, issue Q IV, pages 22-34.
  5. Harald Grech, 2004. "What Do German Short-Term Interest Rates Tell Us About Future Inflation?," Working Papers 94, Oesterreichische Nationalbank (Austrian Central Bank).
  6. Sherrill Shaffer, 1998. "Functional Forms and Declining Average Costs," Journal of Financial Services Research, Springer, vol. 14(2), pages 91-115, October.
  7. Sherrill Shaffer, 2008. "Financial Performance Of Small Business Loans: Indirect Evidence," CAMA Working Papers 2008-28, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  8. Anatolyev, Stanislav, 2008. "A 10-year retrospective on the determinants of Russian stock returns," Research in International Business and Finance, Elsevier, vol. 22(1), pages 56-67, January.
  9. Sherrill Shaffer, 1997. "Network diseconomies and optimal structure," Working Papers 97-19, Federal Reserve Bank of Philadelphia.
  10. Roman Matousek, 2001. "Transparency and Credibility of Monetary Policy in Transition Countries: The Case of the Czech Republic," Archive of Monetary Policy Division Working Papers 2001/37, Czech National Bank.
  11. repec:onb:oenbwp:y::i:94:b:1 is not listed on IDEAS
  12. Ligeralde, Antonio V., 1997. "Covariance matrix estimators and tests of market efficiency," Journal of International Money and Finance, Elsevier, vol. 16(2), pages 323-343, April.

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