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Does Correcting for Heteroskedasticity Help?

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  • Frederic S. Mishkin

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Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0088.

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Date of creation: Aug 1991
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Publication status: published as Economics Letters, Vol. 34, pp. 351-356, (1990).
Handle: RePEc:nbr:nberte:0088

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  1. 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.
  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. Campbell, John Y. & Clarida, Richard H., 1987. "The Term Structure of Euromarket Interest Rates: An Empirical Investigation," Scholarly Articles 3353759, Harvard University Department of Economics.
  4. Gikas A. Hardouvelis, 1987. "The predictive power of the term structure during recent monetary regimes," Research Paper 8708, Federal Reserve Bank of New York.
  5. Froot, Kenneth A & Klemperer, Paul D, 1989. "Exchange Rate Pass-Through When Market Share Matters," American Economic Review, American Economic Association, vol. 79(4), pages 637-54, September.
  6. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
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Cited by:
  1. 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.
  2. 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.
  3. 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.
  4. Sherrill Shaffer, 1997. "Network diseconomies and optimal structure," Working Papers 97-19, Federal Reserve Bank of Philadelphia.
  5. 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.
  6. 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.
  7. Robert F. Stambaugh, 1993. "Estimating Conditional Expectations when Volatility Fluctuates," NBER Technical Working Papers 0140, National Bureau of Economic Research, Inc.
  8. Sherrill Shaffer, 1998. "Functional Forms and Declining Average Costs," Journal of Financial Services Research, Springer, vol. 14(2), pages 91-115, October.
  9. Harald Grech, 2004. "What Do German Short-Term Interest Rates Tell Us About Future Inflation?," Working Papers 94, Oesterreichische Nationalbank (Austrian Central Bank).
  10. 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.
  11. repec:onb:oenbwp:y::i:94:b:1 is not listed on IDEAS
  12. 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.

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