Long And Short Memory Conditional Heteroskedasticity In Estimating The Memory Parameter Of Levels
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Other versions of this item:
- Robinson, Peter M. & Henry, Marc, 1998. "Long and short memory conditional heteroscedasticity in estimating the memory parameter of levels," LSE Research Online Documents on Economics 2022, London School of Economics and Political Science, LSE Library.
- Robinson, Peter M. & Henry, M., 1999. "Long and short memory conditional heteroskedasticity in estimating the memory parameter of levels," LSE Research Online Documents on Economics 304, London School of Economics and Political Science, LSE Library.
References listed on IDEAS
- Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444606.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, vol. 47(1), pages 67-84, January.
- Weiss, Andrew A., 1986. "Asymptotic Theory for ARCH Models: Estimation and Testing," Econometric Theory, Cambridge University Press, vol. 2(01), pages 107-131, April.
- Guido M. Kuersteiner, 1999. "Efficiency IV Estimation for Autoregressive Models with Conditional Heterogeneity," Working papers 99-08, Massachusetts Institute of Technology (MIT), Department of Economics.
- Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444590.
More about this item
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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