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A note on a heteroscedastic model

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  • Amemiya, Takeshi

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  • Amemiya, Takeshi, 1977. "A note on a heteroscedastic model," Journal of Econometrics, Elsevier, vol. 6(3), pages 365-370, November.
  • Handle: RePEc:eee:econom:v:6:y:1977:i:3:p:365-370
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    1. Hatanaka, Michio, 1974. "An efficient two-step estimator for the dynamic adjustment model with autoregressive errors," Journal of Econometrics, Elsevier, vol. 2(3), pages 199-220, September.
    2. Palm, Franz, 1977. "On univariate time series methods and simultaneous equation econometric models," Journal of Econometrics, Elsevier, vol. 5(3), pages 379-388, May.
    3. Nelson, Charles R., 1976. "Gains in efficiency from joint estimation of systems of autoregressive-moving average processes," Journal of Econometrics, Elsevier, vol. 4(4), pages 331-348, November.
    4. M. H. Pesaran, 1973. "Exact Maximum Likelihood Estimation of a Regression Equation with a First-Order Moving-Average Error," Review of Economic Studies, Oxford University Press, vol. 40(4), pages 529-535.
    5. Aigner, Dennis J, 1971. "A Compendium on Estimation of the Autoregressive-Moving Average Model from Time Series Data," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 12(3), pages 348-371, October.
    6. Ansley, Craig F. & Spivey, W. Allen & Wrobleski, William J., 1977. "On the structure of moving average processes," Journal of Econometrics, Elsevier, vol. 6(1), pages 121-134, July.
    7. Amemiya, Takeshi, 1973. "Generalized Least Squares with an Estimated Autocovariance Matrix," Econometrica, Econometric Society, vol. 41(4), pages 723-732, July.
    8. Hatanaka, Michio, 1975. "On the Global Identification of the Dynamic Simultaneous Equations Model with Stationary Disturbances," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 16(3), pages 545-554, October.
    9. Gregory Chow & Ray C. Fair, 1973. "Maximum Likelihood Estimation of Linear Equation Systems with Auto-Regressive Residuals," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 2, number 1, pages 17-28 National Bureau of Economic Research, Inc.
    10. Shiller, Robert J, 1973. "A Distributed Lag Estimator Derived from Smoothness Priors," Econometrica, Econometric Society, vol. 41(4), pages 775-788, July.
    11. Hatanaka, Michio, 1976. "Several efficient two-step estimators for the dynamic simultaneous equations model with autoregressive disturbances," Journal of Econometrics, Elsevier, vol. 4(2), pages 189-204, May.
    12. Swamy, Paravastu A. V. B. & Rappoport, Paul N., 1978. "Relative efficiencies of some simple Bayes estimators of coefficients in a dynamic equation with serially correlated errors - II," Journal of Econometrics, Elsevier, vol. 7(2), pages 245-258, June.
    13. Kent D. Wall, 1976. "FIML Estimation of Rational Distributed Lag Structural Form Models," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 5, number 1, pages 53-63 National Bureau of Economic Research, Inc.
    14. Dhrymes, Phoebus J & Taylor, John B, 1976. "On an Efficient Two-Step Estimator for Dynamic Simultaneous Equations Models with Autoregressive Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 17(2), pages 362-376, June.
    15. Nicholls, D F & Pagan, Adrian R & Terrell, R D, 1975. "The Estimation and Use of Models with Moving Average Disturbance Terms: A Survey," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 16(1), pages 113-134, February.
    16. Hannan, E J & Terrell, R D, 1973. "Multiple Equation Systems with Stationary Errors," Econometrica, Econometric Society, vol. 41(2), pages 299-320, March.
    17. Hannan, E J, 1971. "The Identification Problem for Multiple Equation Systems with Moving Average Errors," Econometrica, Econometric Society, vol. 39(5), pages 751-765, September.
    18. Hendry, David F., 1976. "The structure of simultaneous equations estimators," Journal of Econometrics, Elsevier, vol. 4(1), pages 51-88, February.
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    Cited by:

    1. Kevin L. Kliesen & Frank A. Schmid, 2006. "Macroeconomic news and real interest rates," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 133-144.
    2. Sabien Dobbelaere & Jacques Mairesse, 2013. "Panel data estimates of the production function and product and labor market imperfections," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(1), pages 1-46, January.
    3. Y. K. Tse & Z. L. Yang, 2004. "Tests of Functional Form and Heteroscedasticity," Econometric Society 2004 Far Eastern Meetings 424, Econometric Society.
    4. Zhang, Nansong & Wei, Bo-cheng & Lin, Jin-guan, 2005. "Generalized nonlinear models and variance function estimation," Computational Statistics & Data Analysis, Elsevier, vol. 48(3), pages 549-570, March.
    5. Ward, Patrick S., 2016. "Transient Poverty, Poverty Dynamics, and Vulnerability to Poverty: An Empirical Analysis Using a Balanced Panel from Rural China," World Development, Elsevier, vol. 78(C), pages 541-553.
    6. Mark W. Rosegrant & James A. Roumasset, 1985. "The Effect Of Fertiliser On Risk: A Heteroscedastic Production Function With Measurable Stochastic Inputs," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, pages 107-121.
    7. Dastoor, Naorayex K., 1997. "Testing for conditional heteroskedasticity with misspecified alternative hypotheses," Journal of Econometrics, Elsevier, vol. 82(1), pages 63-80.
    8. Distaso, Walter, 2008. "Testing for unit root processes in random coefficient autoregressive models," Journal of Econometrics, Elsevier, vol. 142(1), pages 581-609, January.
    9. Kevin L. Kliesen & Frank A. Schmid, 2004. "Do productivity growth, budget deficits, and monetary policy actions affect real interest rates? evidence from macroeconomic announcement data," Working Papers 2004-019, Federal Reserve Bank of St. Louis.
    10. Weaver, Robert D. & Stefanou, Spiro E., 1984. "Toward A Behavioral Approach To Modelling Dynamic Production Choice Structures," Northeastern Journal of Agricultural and Resource Economics, Northeastern Agricultural and Resource Economics Association, vol. 13(2), October.
    11. Neudecker, Heinz & Polasek, Wolfgang & Liu, Shuangzhe, 1995. "The heteroskedastic linear regression model and the Hadamard product a note," Journal of Econometrics, Elsevier, vol. 68(2), pages 361-366, August.
    12. Antle, John M., 1982. "A Note On Slutsky'S Theorem And The Asymptotic Equivalence Of Feasible And True Gls Estimators," Working Papers 225696, University of California, Davis, Department of Agricultural and Resource Economics.
    13. Takahisa Yokoi, 2011. "Efficient Maximum Likelihood Estimation of Spatial Autoregressive Models with Normal but Heteroskedastic Disturbances," ERSA conference papers ersa10p536, European Regional Science Association.
    14. Rudolf Beran, 1993. "Semiparametric random coefficient regression models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(4), pages 639-654, December.
    15. Griffiths, William E. & Anderson, Jock R. & Hamal, K.B., 1987. "Subjective Distributions As Econometric Response Data," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 31(02), August.
    16. Hu, Jianhua & You, Jinhong & Zhou, Xian, 2017. "Improved estimation of fixed effects panel data partially linear models with heteroscedastic errors," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 96-111.
    17. Cumby, Robert E., 1988. "Is it risk? : Explaining deviations from uncovered interest parity," Journal of Monetary Economics, Elsevier, vol. 22(2), pages 279-299, September.
    18. Robert E. Cumby, 1987. "Consumption Risk and International Asset Returns: Some Empirical Evidence," NBER Working Papers 2383, National Bureau of Economic Research, Inc.

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