Estimation Of Coefficients Of Time Series Regression With A Nonstationary Error Process
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DOI: 10.1111/j.1467-9892.1995.tb00224.x
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References listed on IDEAS
- Harvey, A C, 1976. "Estimating Regression Models with Multiplicative Heteroscedasticity," Econometrica, Econometric Society, vol. 44(3), pages 461-465, May.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
- Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-1294, September.
- Robinson, P M, 1987. "Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form," Econometrica, Econometric Society, vol. 55(4), pages 875-891, July.
- A. C. Harvey & P. M. Robinson, 1988. "Efficient Estimation Of Nonstationary Time Series Regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 9(3), pages 201-214, May.
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