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Heteroscedasticity in Models with Lagged Dependent Variables

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  • Nicholls, D F
  • Pagan, A R

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  • Nicholls, D F & Pagan, A R, 1983. "Heteroscedasticity in Models with Lagged Dependent Variables," Econometrica, Econometric Society, vol. 51(4), pages 1233-1242, July.
  • Handle: RePEc:ecm:emetrp:v:51:y:1983:i:4:p:1233-42
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    Cited by:

    1. Goncalves, Silvia & Kilian, Lutz, 2004. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November.
    2. Kourogenis, Nikolaos & Pittis, Nikitas, 2010. "Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator," Economics Letters, Elsevier, vol. 106(2), pages 84-86, February.
    3. Neil R. Ericsson, 1986. "Post-simulation Analysis of Monte Carlo Experiments: Interpreting Pesaran's (1974) Study of Non-nested Hypothesis Test Statistics," Review of Economic Studies, Oxford University Press, vol. 53(4), pages 691-707.
    4. Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1990. "An analogue model of phase-averaging procedures," Journal of Econometrics, Elsevier, vol. 43(3), pages 275-292, March.
    5. Krolzig, Hans-Martin & Hendry, David F., 2001. "Computer automation of general-to-specific model selection procedures," Journal of Economic Dynamics and Control, Elsevier, vol. 25(6-7), pages 831-866, June.
    6. Christian M. Hafner & Helmut Herwartz, 2009. "Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 63(3), pages 294-323.
    7. Neil R. Ericsson, David F. Hendry & Kevin M. Prestiwch, "undated". "The UK Demand for Broad Money over the Long run," Economics Papers W29, Economics Group, Nuffield College, University of Oxford.
    8. Marie Bessec, 2010. "Étalonnages du taux de croissance du PIB français sur la base des enquêtes de conjoncture," Économie et Prévision, Programme National Persée, vol. 193(2), pages 77-99.
    9. de Brouwer, Gordon & Ericsson, Neil R, 1998. "Modeling Inflation in Australia," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 433-449, October.
    10. Emmanuel Michaux & Éric Dubois, 2006. "Étalonnages à l’aide d’enquêtes de conjoncture : de nouveaux résultats," Économie et Prévision, Programme National Persée, vol. 172(1), pages 11-28.
    11. Ericsson, Neil R., 1992. "Parameter constancy, mean square forecast errors, and measuring forecast performance: An exposition, extensions, and illustration," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 465-495, August.
    12. Sunil Sharma & Neil R. Ericsson, 1998. "Broad money demand and financial liberalization in Greece," Empirical Economics, Springer, vol. 23(3), pages 417-436.
    13. Ke Zhu, 2018. "Statistical inference for autoregressive models under heteroscedasticity of unknown form," Papers 1804.02348, arXiv.org.
    14. Neil R. Ericsson, 1987. "Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses," International Finance Discussion Papers 317, Board of Governors of the Federal Reserve System (U.S.).
    15. Camila Epprecht & Dominique Guegan & Álvaro Veiga, 2013. "Comparing variable selection techniques for linear regression: LASSO and Autometrics," Documents de travail du Centre d'Economie de la Sorbonne 13080, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    16. Chevillon, Guillaume & Massmann, Michael & Mavroeidis, Sophocles, 2010. "Inference in models with adaptive learning," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 341-351, April.
    17. Hendry, David F. & Ericsson, Neil R., 1991. "Modeling the demand for narrow money in the United Kingdom and the United States," European Economic Review, Elsevier, vol. 35(4), pages 833-881, May.
    18. repec:sbe:breart:v:10:y:1990:i:1:a:3021 is not listed on IDEAS
    19. Camila Epprecht & Dominique Guegan & Álvaro Veiga & Joel Correa da Rosa, 2017. "Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00917797, HAL.
    20. Ericsson, Neil R & Hendry, David F & Prestwich, Kevin M, 1998. " The Demand for Broad Money in the United Kingdom, 1878-1993," Scandinavian Journal of Economics, Wiley Blackwell, vol. 100(1), pages 289-324, March.
    21. Ericsson, Neil R. & Campos, Julia & Tran, Hong-Anh, 1990. "Pc-Give and David Hendry'S Econometric Methodology," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 10(1), April.
    22. Matthieu Cornec & Thierry Deperraz, 2006. "Un nouvel indicateur synthétique mensuel résumant le climat des affaires dans les services en France," Économie et Statistique, Programme National Persée, vol. 395(1), pages 13-38.

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