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Does Correcting for Heteroskedasticity Help?

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  • Frederic S. Mishkin

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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. John Y. Campbell & Richard H. Clarida, 1985. "The Term Structure of Euromarket Interest Rates: An Empirical Investigation," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 772R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
  2. Gikas A. Hardouvelis, 1987. "The predictive power of the term structure during recent monetary regimes," Research Paper, Federal Reserve Bank of New York 8708, Federal Reserve Bank of New York.
  3. 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, University of Chicago Press, vol. 88(5), pages 829-53, October.
  4. 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, National Bureau of Economic Research, Inc 0051, National Bureau of Economic Research, Inc.
  5. Froot, Kenneth A & Klemperer, Paul D, 1989. "Exchange Rate Pass-Through When Market Share Matters," American Economic Review, American Economic Association, 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, Econometric Society, vol. 50(4), pages 1029-54, July.
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Cited by:
  1. 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, Czech National Bank 2001/37, Czech National Bank.
  2. 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, Elsevier, vol. 26(12), pages 2365-2382.
  3. Harald Grech, 2004. "What Do German Short-Term Interest Rates Tell Us About Future Inflation?," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) 94, Oesterreichische Nationalbank (Austrian Central Bank).
  4. Frankel, Jeffrey A & Lown, Cara S, 1994. "An Indicator of Future Inflation Extracted from the Steepness of the Interest Rate Yield Curve along Its Entire Length," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 109(2), pages 517-30, May.
  5. Robert F. Stambaugh, . "Estimating Conditional Expectations When Volatility Fluctuates," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 17-93, Wharton School Rodney L. White Center for Financial Research.
  6. 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.
  7. 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, Federal Reserve Bank of Cleveland, issue Q IV, pages 22-34.
  8. repec:onb:oenbwp:y::i:94:b:1 is not listed on IDEAS
  9. Sherrill Shaffer, 1997. "Network diseconomies and optimal structure," Working Papers 97-19, Federal Reserve Bank of Philadelphia.
  10. Anatolyev, Stanislav, 2008. "A 10-year retrospective on the determinants of Russian stock returns," Research in International Business and Finance, Elsevier, Elsevier, vol. 22(1), pages 56-67, January.
  11. Ligeralde, Antonio V., 1997. "Covariance matrix estimators and tests of market efficiency," Journal of International Money and Finance, Elsevier, Elsevier, vol. 16(2), pages 323-343, April.
  12. Sherrill Shaffer, 1998. "Functional Forms and Declining Average Costs," Journal of Financial Services Research, Springer, Springer, vol. 14(2), pages 91-115, October.

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