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The problem of near-multicollinearity revisited: erratic vs systematic volatility

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  • Spanos, Aris
  • McGuirk, Anya

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  • Spanos, Aris & McGuirk, Anya, 2002. "The problem of near-multicollinearity revisited: erratic vs systematic volatility," Journal of Econometrics, Elsevier, vol. 108(2), pages 365-393, June.
  • Handle: RePEc:eee:econom:v:108:y:2002:i:2:p:365-393
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    References listed on IDEAS

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    1. Spanos, Aris, 1989. "Early Empirical Findings on the Consumption Function, Stylized Facts or Fiction: A Retrospective View," Oxford Economic Papers, Oxford University Press, vol. 41(1), pages 150-169, January.
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    Citations

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    Cited by:

    1. Anya McGuirk & Aris Spanos, 2009. "Revisiting Error-Autocorrelation Correction: Common Factor Restrictions and Granger Non-Causality," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(2), pages 273-294, April.
    2. M. Hashem Pesaran & Ron P. Smith, 2017. "Posterior Means and Precisions of the Coefficients in Linear Models with Highly Collinear Regressors," CESifo Working Paper Series 6785, CESifo Group Munich.
    3. Honghui Chen & Vijay Singal & Robert F. Whitelaw, 2015. "Comovement Revisited," NBER Working Papers 21281, National Bureau of Economic Research, Inc.
    4. McGuirk, Anya M. & Spanos, Aris, 2002. "The Linear Regression Model With Autocorrelated Errors: Just Say No To Error Autocorrelation," 2002 Annual meeting, July 28-31, Long Beach, CA 19905, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    5. repec:eee:eneeco:v:63:y:2017:i:c:p:84-91 is not listed on IDEAS
    6. Chen, Honghui & Singal, Vijay & Whitelaw, Robert F., 2016. "Comovement revisited," Journal of Financial Economics, Elsevier, vol. 121(3), pages 624-644.
    7. repec:pab:rmcpee:v:24:y:2018:i:1:169-189 is not listed on IDEAS
    8. Spanos, Aris, 2010. "Statistical adequacy and the trustworthiness of empirical evidence: Statistical vs. substantive information," Economic Modelling, Elsevier, vol. 27(6), pages 1436-1452, November.
    9. McGuirk, Anya M. & Spanos, Aris, 2004. "Revisiting Error Autocorrelation Correction: Common Factor Restrictions And Granger Causality," 2004 Annual meeting, August 1-4, Denver, CO 20176, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    10. Thomas B. Marvell, 2010. "Prison Population and Crime," Chapters,in: Handbook on the Economics of Crime, chapter 7 Edward Elgar Publishing.
    11. Nicolas Van de Sijpe, 2013. "Is Foreign Aid Fungible? Evidence from the Education and Health Sectors," World Bank Economic Review, World Bank Group, vol. 27(2), pages 320-356.

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