De Clerk, Luke; Savel’ev, Sergey Ai algorithms for fitting GARCH parameters to empirical financial data. (English) Zbl 07569891 Physica A 603, Article ID 127869, 8 p. (2022). MSC: 82-XX PDF BibTeX XML Cite \textit{L. De Clerk} and \textit{S. Savel'ev}, Physica A 603, Article ID 127869, 8 p. (2022; Zbl 07569891) Full Text: DOI OpenURL
Perron, Pierre; Yamamoto, Yohei Structural change tests under heteroskedasticity: Joint estimation versus two-steps methods. (English) Zbl 07569199 J. Time Ser. Anal. 43, No. 3, 389-411 (2022). MSC: 62Mxx 62H15 PDF BibTeX XML Cite \textit{P. Perron} and \textit{Y. Yamamoto}, J. Time Ser. Anal. 43, No. 3, 389--411 (2022; Zbl 07569199) Full Text: DOI OpenURL
Mignanego, Fausto; Sbuelz, Alessandro Analytical cyclical price-dividend ratios. (English) Zbl 07562803 Econ. Lett. 215, Article ID 110510, 6 p. (2022). MSC: 91G30 PDF BibTeX XML Cite \textit{F. Mignanego} and \textit{A. Sbuelz}, Econ. Lett. 215, Article ID 110510, 6 p. (2022; Zbl 07562803) Full Text: DOI OpenURL
Cole, D. Austin; Gramacy, Robert B.; Ludkovski, Mike Large-scale local surrogate modeling of stochastic simulation experiments. (English) Zbl 07561893 Comput. Stat. Data Anal. 174, Article ID 107537, 17 p. (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{D. A. Cole} et al., Comput. Stat. Data Anal. 174, Article ID 107537, 17 p. (2022; Zbl 07561893) Full Text: DOI OpenURL
Herwartz, Helmut; Rohloff, Hannes; Wang, Shu Proxy SVAR identification of monetary policy shocks – Monte Carlo evidence and insights for the US. (English) Zbl 07554317 J. Econ. Dyn. Control 139, Article ID 104457, 22 p. (2022). MSC: 91B64 62P20 PDF BibTeX XML Cite \textit{H. Herwartz} et al., J. Econ. Dyn. Control 139, Article ID 104457, 22 p. (2022; Zbl 07554317) Full Text: DOI OpenURL
Celik, N. Welch’s ANOVA: heteroskedastic skew-\(t\) error terms. (English) Zbl 07535579 Commun. Stat., Theory Methods 51, No. 9, 3065-3076 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{N. Celik}, Commun. Stat., Theory Methods 51, No. 9, 3065--3076 (2022; Zbl 07535579) Full Text: DOI OpenURL
Zhang, Anru R.; Cai, T. Tony; Wu, Yihong Heteroskedastic PCA: algorithm, optimality, and applications. (English) Zbl 1486.62183 Ann. Stat. 50, No. 1, 53-80 (2022). MSC: 62H25 62H12 62C20 PDF BibTeX XML Cite \textit{A. R. Zhang} et al., Ann. Stat. 50, No. 1, 53--80 (2022; Zbl 1486.62183) Full Text: DOI OpenURL
Regis, Marta; Serra, Paulo; van den Heuvel, Edwin R. Random autoregressive models: a structured overview. (English) Zbl 07493291 Econom. Rev. 41, No. 2, 207-230 (2022). MSC: 62M10 62P20 62-02 62-04 PDF BibTeX XML Cite \textit{M. Regis} et al., Econom. Rev. 41, No. 2, 207--230 (2022; Zbl 07493291) Full Text: DOI arXiv OpenURL
Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M.; Taylor, A. M. Robert Testing for episodic predictability in stock returns. (English) Zbl 07491150 J. Econom. 227, No. 1, 85-113 (2022). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{M. Demetrescu} et al., J. Econom. 227, No. 1, 85--113 (2022; Zbl 07491150) Full Text: DOI OpenURL
Francq, Christian; Zakoïan, Jean-Michel Testing the existence of moments for GARCH processes. (English) Zbl 07491148 J. Econom. 227, No. 1, 47-64 (2022). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{C. Francq} and \textit{J.-M. Zakoïan}, J. Econom. 227, No. 1, 47--64 (2022; Zbl 07491148) Full Text: DOI OpenURL
Kung, Ko-Lun; MacMinn, Richard D.; Kuo, Weiyu; Tsai, Chenghsien Jason Multi-population mortality modeling: when the data is too much and not enough. (English) Zbl 1484.91391 Insur. Math. Econ. 103, 41-55 (2022). MSC: 91G05 91D20 62P05 PDF BibTeX XML Cite \textit{K.-L. Kung} et al., Insur. Math. Econ. 103, 41--55 (2022; Zbl 1484.91391) Full Text: DOI OpenURL
Papadopoulos, Alecos; Tsionas, Mike G. Efficiency gains in least squares estimation: a new approach. (English) Zbl 07486321 Econom. Rev. 41, No. 1, 51-74 (2022). MSC: 62J05 62F12 62P20 PDF BibTeX XML Cite \textit{A. Papadopoulos} and \textit{M. G. Tsionas}, Econom. Rev. 41, No. 1, 51--74 (2022; Zbl 07486321) Full Text: DOI OpenURL
Alvarez, Javier; Arellano, Manuel Robust likelihood estimation of dynamic panel data models. (English) Zbl 07471884 J. Econom. 226, No. 1, 21-61 (2022). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{J. Alvarez} and \textit{M. Arellano}, J. Econom. 226, No. 1, 21--61 (2022; Zbl 07471884) Full Text: DOI OpenURL
Lütkepohl, Helmut; Meitz, Mika; Netšunajev, Aleksei; Saikkonen, Pentti Testing identification via heteroskedasticity in structural vector autoregressive models. (English) Zbl 07546380 Econom. J. 24, No. 1, 1-22 (2021); erratum ibid. 24, No. 1, 198 (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{H. Lütkepohl} et al., Econom. J. 24, No. 1, 1--22 (2021; Zbl 07546380) Full Text: DOI OpenURL
Chu, Jianghao; Lee, Tae-Hwy; Ullah, Aman; Xu, Haifeng Exact distribution of the \(F\)-statistic under heteroskedasticity of unknown form for improved inference. (English) Zbl 07493368 J. Stat. Comput. Simulation 91, No. 9, 1782-1801 (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{J. Chu} et al., J. Stat. Comput. Simulation 91, No. 9, 1782--1801 (2021; Zbl 07493368) Full Text: DOI OpenURL
López-Laborda, Julio; Marín-González, Carmen; Onrubia-Fernández, Jorge Estimating Engel curves: a new way to improve the SILC-HBS matching process using GLM methods. (English) Zbl 07484649 J. Appl. Stat. 48, No. 16, 3233-3250 (2021). MSC: 62Pxx PDF BibTeX XML Cite \textit{J. López-Laborda} et al., J. Appl. Stat. 48, No. 16, 3233--3250 (2021; Zbl 07484649) Full Text: DOI OpenURL
Zhang, Ruohao; Kumbhakar, Subal C.; Lai, Hung-pin Estimation of panel model with heteroskedasticity in both idiosyncratic and individual specific errors. (English) Zbl 07484559 Econom. Rev. 40, No. 4, 415-432 (2021). MSC: 62J05 62G07 62H12 62P20 PDF BibTeX XML Cite \textit{R. Zhang} et al., Econom. Rev. 40, No. 4, 415--432 (2021; Zbl 07484559) Full Text: DOI OpenURL
Tsionas, Mike G. Multi-criteria optimization in regression. (English) Zbl 1478.90121 Ann. Oper. Res. 306, No. 1-2, 7-25 (2021). MSC: 90C29 90B50 62J05 91G10 65K05 PDF BibTeX XML Cite \textit{M. G. Tsionas}, Ann. Oper. Res. 306, No. 1--2, 7--25 (2021; Zbl 1478.90121) Full Text: DOI OpenURL
Lewis, Daniel J. Identifying shocks via time-varying volatility. (English) Zbl 1481.91120 Rev. Econ. Stud. 88, No. 6, 3086-3124 (2021). MSC: 91B64 62P20 PDF BibTeX XML Cite \textit{D. J. Lewis}, Rev. Econ. Stud. 88, No. 6, 3086--3124 (2021; Zbl 1481.91120) Full Text: DOI OpenURL
Huo, Lijuan; Cho, Jin Seo Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator. (English) Zbl 1474.62197 Test 30, No. 2, 293-317 (2021). MSC: 62H15 62F12 62J10 62L05 62M10 62P20 PDF BibTeX XML Cite \textit{L. Huo} and \textit{J. S. Cho}, Test 30, No. 2, 293--317 (2021; Zbl 1474.62197) Full Text: DOI OpenURL
Mamatzakis, Emmanuel; Tsionas, Mike G. Testing for persistence in US mutual funds’ performance: a Bayesian dynamic panel model. (English) Zbl 1475.91361 Ann. Oper. Res. 299, No. 1-2, 1203-1233 (2021). MSC: 91G20 91G10 62P05 PDF BibTeX XML Cite \textit{E. Mamatzakis} and \textit{M. G. Tsionas}, Ann. Oper. Res. 299, No. 1--2, 1203--1233 (2021; Zbl 1475.91361) Full Text: DOI OpenURL
Baltagi, Badi H.; Pirotte, Alain; Yang, Zhenlin Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models. (English) Zbl 07414266 J. Econom. 224, No. 2, 245-270 (2021). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{B. H. Baltagi} et al., J. Econom. 224, No. 2, 245--270 (2021; Zbl 07414266) Full Text: DOI Link OpenURL
Xu, Ruonan On the instrument functional form with a binary endogenous explanatory variable. (English) Zbl 1473.62245 Econ. Lett. 206, Article ID 109993, 4 p. (2021). MSC: 62J05 62R10 PDF BibTeX XML Cite \textit{R. Xu}, Econ. Lett. 206, Article ID 109993, 4 p. (2021; Zbl 1473.62245) Full Text: DOI OpenURL
Rho, Seunghwa; Vogelsang, Timothy J. Inference in time series models using smoothed-clustered standard errors. (English) Zbl 07376510 J. Econom. 224, No. 1, 113-133 (2021). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{S. Rho} and \textit{T. J. Vogelsang}, J. Econom. 224, No. 1, 113--133 (2021; Zbl 07376510) Full Text: DOI OpenURL
Anatolyev, Stanislav Mallows criterion for heteroskedastic linear regressions with many regressors. (English) Zbl 1467.62121 Econ. Lett. 203, Article ID 109864, 4 p. (2021). MSC: 62J05 62F07 PDF BibTeX XML Cite \textit{S. Anatolyev}, Econ. Lett. 203, Article ID 109864, 4 p. (2021; Zbl 1467.62121) Full Text: DOI OpenURL
Nielsen, Morten Ørregaard; Noël, Antoine L. To infinity and beyond: efficient computation of ARCH\((\infty)\) models. (English) Zbl 1468.62342 J. Time Ser. Anal. 42, No. 3, 338-354 (2021). MSC: 62M10 62-08 PDF BibTeX XML Cite \textit{M. Ø. Nielsen} and \textit{A. L. Noël}, J. Time Ser. Anal. 42, No. 3, 338--354 (2021; Zbl 1468.62342) Full Text: DOI OpenURL
Otto, Sven Unit root testing with slowly varying trends. (English) Zbl 1468.62344 J. Time Ser. Anal. 42, No. 1, 85-106 (2021). MSC: 62M10 62M07 65C05 PDF BibTeX XML Cite \textit{S. Otto}, J. Time Ser. Anal. 42, No. 1, 85--106 (2021; Zbl 1468.62344) Full Text: DOI arXiv OpenURL
Song, Xiaojun; Taamouti, Abderrahim A nonparametric measure of heteroskedasticity. (English) Zbl 1466.62301 J. Stat. Plann. Inference 212, 45-68 (2021). MSC: 62G08 62G09 62P25 PDF BibTeX XML Cite \textit{X. Song} and \textit{A. Taamouti}, J. Stat. Plann. Inference 212, 45--68 (2021; Zbl 1466.62301) Full Text: DOI OpenURL
Hwang, Jungbin Simple and trustworthy cluster-robust GMM inference. (English) Zbl 1471.62531 J. Econom. 222, No. 2, 993-1023 (2021). MSC: 62P20 62M10 62H12 62E20 62G20 PDF BibTeX XML Cite \textit{J. Hwang}, J. Econom. 222, No. 2, 993--1023 (2021; Zbl 1471.62531) Full Text: DOI Link OpenURL
Peng, Bin; Yu, Junqi; Zhu, Yi A heteroskedasticity robust test for cross-sectional correlation in a fixed effects panel data model. (English) Zbl 1462.62079 Econ. Lett. 201, Article ID 109799, 5 p. (2021). MSC: 62D20 62H15 62H20 62G35 PDF BibTeX XML Cite \textit{B. Peng} et al., Econ. Lett. 201, Article ID 109799, 5 p. (2021; Zbl 1462.62079) Full Text: DOI OpenURL
Pfaffermayr, Michael Confidence intervals for the trade cost parameters of cross-section gravity models. (English) Zbl 1460.91135 Econ. Lett. 201, Article ID 109787, 5 p. (2021). MSC: 91B60 PDF BibTeX XML Cite \textit{M. Pfaffermayr}, Econ. Lett. 201, Article ID 109787, 5 p. (2021; Zbl 1460.91135) Full Text: DOI OpenURL
Hong, Shaoxin; Zhang, Zhengyi; Cai, Zongwu Testing heteroskedasticity for predictive regressions with nonstationary regressors. (English) Zbl 1462.62339 Econ. Lett. 201, Article ID 109781, 4 p. (2021). MSC: 62H15 62M20 62J02 60G12 62P05 PDF BibTeX XML Cite \textit{S. Hong} et al., Econ. Lett. 201, Article ID 109781, 4 p. (2021; Zbl 1462.62339) Full Text: DOI OpenURL
Xu, Ke-Li On the serial correlation in multi-horizon predictive quantile regression. (English) Zbl 1462.62644 Econ. Lett. 200, Article ID 109736, 4 p. (2021). MSC: 62P05 62G08 62J02 62H20 62M20 PDF BibTeX XML Cite \textit{K.-L. Xu}, Econ. Lett. 200, Article ID 109736, 4 p. (2021; Zbl 1462.62644) Full Text: DOI OpenURL
Ding, Peng The Frisch-Waugh-Lovell theorem for standard errors. (English) Zbl 1456.62101 Stat. Probab. Lett. 168, Article ID 108945, 6 p. (2021). MSC: 62H12 62H30 62J05 62M10 PDF BibTeX XML Cite \textit{P. Ding}, Stat. Probab. Lett. 168, Article ID 108945, 6 p. (2021; Zbl 1456.62101) Full Text: DOI arXiv OpenURL
Chang, Jow-Ran; Hung, Mao-Wei; Lee, Cheng Few; Lu, Hsin-Min The jump behavior of a foreign exchange market: analysis of the Thai baht. (English) Zbl 1454.91337 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1943-1968 (2021). MSC: 91G45 60J74 62P05 PDF BibTeX XML Cite \textit{J.-R. Chang} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1943--1968 (2021; Zbl 1454.91337) Full Text: DOI OpenURL
Coudin, Elise; Dufour, Jean-Marie Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors. (English) Zbl 07484536 Econom. Rev. 39, No. 8, 763-791 (2020). MSC: 62P20 62M10 62J05 62F12 62F25 PDF BibTeX XML Cite \textit{E. Coudin} and \textit{J.-M. Dufour}, Econom. Rev. 39, No. 8, 763--791 (2020; Zbl 07484536) Full Text: DOI OpenURL
Tu, Yundong; Chan, Nigel; Wang, Qiying Testing for a unit root with nonstationary nonlinear heteroskedasticity. (English) Zbl 07484532 Econom. Rev. 39, No. 9, 904-929 (2020). MSC: 62M10 62M07 62E20 60F17 62P20 PDF BibTeX XML Cite \textit{Y. Tu} et al., Econom. Rev. 39, No. 9, 904--929 (2020; Zbl 07484532) Full Text: DOI OpenURL
Tu, Yundong; Wang, Ying Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets. (English) Zbl 07484503 Econom. Rev. 39, No. 3, 299-318 (2020). MSC: 62M10 62P20 PDF BibTeX XML Cite \textit{Y. Tu} and \textit{Y. Wang}, Econom. Rev. 39, No. 3, 299--318 (2020; Zbl 07484503) Full Text: DOI OpenURL
Feng, Sanying; Li, Gaorong; Tong, Tiejun; Luo, Shuanghua Testing for heteroskedasticity in two-way fixed effects panel data models. (English) Zbl 07481405 J. Appl. Stat. 47, No. 1, 91-116 (2020). MSC: 62Pxx PDF BibTeX XML Cite \textit{S. Feng} et al., J. Appl. Stat. 47, No. 1, 91--116 (2020; Zbl 07481405) Full Text: DOI OpenURL
Perron, Pierre; Yamamoto, Yohei; Zhou, Jing Testing jointly for structural changes in the error variance and coefficients of a linear regression model. (English) Zbl 1466.62314 Quant. Econ. 11, No. 3, 1019-1057 (2020). MSC: 62G10 62J05 62P20 PDF BibTeX XML Cite \textit{P. Perron} et al., Quant. Econ. 11, No. 3, 1019--1057 (2020; Zbl 1466.62314) Full Text: DOI OpenURL
Yoon, Jungmo; Galvao, Antonio F. Cluster robust covariance matrix estimation in panel quantile regression with individual fixed effects. (English) Zbl 1466.62304 Quant. Econ. 11, No. 2, 579-608 (2020). MSC: 62G08 62H30 62H12 62P20 PDF BibTeX XML Cite \textit{J. Yoon} and \textit{A. F. Galvao}, Quant. Econ. 11, No. 2, 579--608 (2020; Zbl 1466.62304) Full Text: DOI OpenURL
Sun, Yixiao; Yang, Jingjing Testing-optimal kernel choice in HAR inference. (English) Zbl 1464.62394 J. Econom. 219, No. 1, 123-136 (2020). MSC: 62M10 62P20 PDF BibTeX XML Cite \textit{Y. Sun} and \textit{J. Yang}, J. Econom. 219, No. 1, 123--136 (2020; Zbl 1464.62394) Full Text: DOI OpenURL
Gungor, Sermin; Luger, Richard Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects. (English) Zbl 1464.62417 J. Econom. 218, No. 2, 750-770 (2020). MSC: 62P05 62G10 62M10 PDF BibTeX XML Cite \textit{S. Gungor} and \textit{R. Luger}, J. Econom. 218, No. 2, 750--770 (2020; Zbl 1464.62417) Full Text: DOI OpenURL
Lütkepohl, Helmut; Milunovich, George; Yang, Minxian Inference in partially identified heteroskedastic simultaneous equations models. (English) Zbl 1464.62516 J. Econom. 218, No. 2, 317-345 (2020). MSC: 62P20 62M10 62F05 PDF BibTeX XML Cite \textit{H. Lütkepohl} et al., J. Econom. 218, No. 2, 317--345 (2020; Zbl 1464.62516) Full Text: DOI Link OpenURL
Kejriwal, Mohitosh; Yu, Xuewen; Perron, Pierre Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series. (English) Zbl 1452.91238 J. Time Ser. Anal. 41, No. 5, 676-690 (2020). MSC: 91B84 62F40 PDF BibTeX XML Cite \textit{M. Kejriwal} et al., J. Time Ser. Anal. 41, No. 5, 676--690 (2020; Zbl 1452.91238) Full Text: DOI OpenURL
Lütkepohl, Helmut Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity. (English) Zbl 1452.62660 Econ. Lett. 195, Article ID 109458, 4 p. (2020). MSC: 62M10 60J76 PDF BibTeX XML Cite \textit{H. Lütkepohl}, Econ. Lett. 195, Article ID 109458, 4 p. (2020; Zbl 1452.62660) Full Text: DOI Link OpenURL
Jin, Fei; Lee, Lung-fei Asymptotically efficient root estimators for spatial autoregressive models with spatial autoregressive disturbances. (English) Zbl 1452.62609 Econ. Lett. 194, Article ID 109397, 4 p. (2020). MSC: 62M07 62M10 62M30 62H11 PDF BibTeX XML Cite \textit{F. Jin} and \textit{L.-f. Lee}, Econ. Lett. 194, Article ID 109397, 4 p. (2020; Zbl 1452.62609) Full Text: DOI OpenURL
Zhang, Yuanyuan; Liu, Rong; Shao, Qin; Yang, Lijian Two-step estimation for time varying ARCH models. (English) Zbl 1450.62037 J. Time Ser. Anal. 41, No. 4, 551-570 (2020). MSC: 62G08 62M10 65D07 62P05 PDF BibTeX XML Cite \textit{Y. Zhang} et al., J. Time Ser. Anal. 41, No. 4, 551--570 (2020; Zbl 1450.62037) Full Text: DOI OpenURL
Liu, Shew Fan; Yang, Zhenlin Robust estimation and inference of spatial panel data models with fixed effects. (English) Zbl 1447.62056 Jpn. J. Stat. Data Sci. 3, No. 1, 257-311 (2020). MSC: 62H11 62H12 62D20 62G35 PDF BibTeX XML Cite \textit{S. F. Liu} and \textit{Z. Yang}, Jpn. J. Stat. Data Sci. 3, No. 1, 257--311 (2020; Zbl 1447.62056) Full Text: DOI Link OpenURL
Martínez-Iriarte, Julián; Sun, Yixiao; Wang, Xuexin Asymptotic F tests under possibly weak identification. (English) Zbl 1456.62211 J. Econom. 218, No. 1, 140-177 (2020). MSC: 62M10 62E20 62F05 62H12 62P20 PDF BibTeX XML Cite \textit{J. Martínez-Iriarte} et al., J. Econom. 218, No. 1, 140--177 (2020; Zbl 1456.62211) Full Text: DOI Link OpenURL
Zhou, Jianhua; Parmeter, Christopher F.; Kumbhakar, Subal C. Nonparametric estimation of the determinants of inefficiency in the presence of firm heterogeneity. (English) Zbl 1443.62516 Eur. J. Oper. Res. 286, No. 3, 1142-1152 (2020). MSC: 62P20 62G05 PDF BibTeX XML Cite \textit{J. Zhou} et al., Eur. J. Oper. Res. 286, No. 3, 1142--1152 (2020; Zbl 1443.62516) Full Text: DOI OpenURL
Hølleland, Sondre; Karlsen, Hans Arnfinn A stationary spatio-temporal GARCH model. (English) Zbl 1443.62267 J. Time Ser. Anal. 41, No. 2, 177-209 (2020). MSC: 62M10 62M30 62H11 62F12 60G10 PDF BibTeX XML Cite \textit{S. Hølleland} and \textit{H. A. Karlsen}, J. Time Ser. Anal. 41, No. 2, 177--209 (2020; Zbl 1443.62267) Full Text: DOI OpenURL
Lütkepohl, Helmut; Woźniak, Tomasz Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity. (English) Zbl 07202054 J. Econ. Dyn. Control 113, Article ID 103862, 21 p. (2020). MSC: 91-XX PDF BibTeX XML Cite \textit{H. Lütkepohl} and \textit{T. Woźniak}, J. Econ. Dyn. Control 113, Article ID 103862, 21 p. (2020; Zbl 07202054) Full Text: DOI arXiv OpenURL
Kocherlakota, Narayana R. Analytical formulae for accurately sized \(t\)-tests in the single instrument case. (English) Zbl 1439.62071 Econ. Lett. 189, Article ID 109053, 4 p. (2020). MSC: 62F03 62F12 PDF BibTeX XML Cite \textit{N. R. Kocherlakota}, Econ. Lett. 189, Article ID 109053, 4 p. (2020; Zbl 1439.62071) Full Text: DOI OpenURL
Zimmermann, Georg; Pauly, Markus; Bathke, Arne C. Multivariate analysis of covariance with potentially singular covariance matrices and non-normal responses. (English) Zbl 1435.62284 J. Multivariate Anal. 177, Article ID 104594, 19 p. (2020). MSC: 62J10 62H15 62F40 PDF BibTeX XML Cite \textit{G. Zimmermann} et al., J. Multivariate Anal. 177, Article ID 104594, 19 p. (2020; Zbl 1435.62284) Full Text: DOI arXiv OpenURL
Peng, Shige; Zhou, Quan A hypothesis-testing perspective on the \(G\)-normal distribution theory. (English) Zbl 1459.62027 Stat. Probab. Lett. 156, Article ID 108623, 8 p. (2020). MSC: 62E20 62F03 60H30 60H10 60F05 35K05 PDF BibTeX XML Cite \textit{S. Peng} and \textit{Q. Zhou}, Stat. Probab. Lett. 156, Article ID 108623, 8 p. (2020; Zbl 1459.62027) Full Text: DOI arXiv OpenURL
Hayakawa, Kazuhiko; Sun, Qi Instrumental variable estimation of factor models with possibly many variables. (English) Zbl 07551081 Commun. Stat., Simulation Comput. 48, No. 6, 1729-1745 (2019). MSC: 62-XX 62H12 PDF BibTeX XML Cite \textit{K. Hayakawa} and \textit{Q. Sun}, Commun. Stat., Simulation Comput. 48, No. 6, 1729--1745 (2019; Zbl 07551081) Full Text: DOI OpenURL
Guo, Gangzheng; Sun, Yixiao; Wang, Shaoping Testing for moderate explosiveness. (English) Zbl 07547360 Econom. J. 22, No. 1, 73-95 (2019). MSC: 62-XX PDF BibTeX XML Cite \textit{G. Guo} et al., Econom. J. 22, No. 1, 73--95 (2019; Zbl 07547360) Full Text: DOI OpenURL
Liu, Xiaodong; Saraiva, Paulo GMM estimation of spatial autoregressive models in a system of simultaneous equations with heteroskedasticity. (English) Zbl 07484460 Econom. Rev. 38, No. 4, 359-385 (2019). MSC: 62P20 62M30 62M10 62F12 PDF BibTeX XML Cite \textit{X. Liu} and \textit{P. Saraiva}, Econom. Rev. 38, No. 4, 359--385 (2019; Zbl 07484460) Full Text: DOI OpenURL
Parmeter, Christopher F.; Zelenyuk, Valentin Combining the virtues of stochastic frontier and data envelopment analysis. (English) Zbl 1456.62054 Oper. Res. 67, No. 6, 1628-1658 (2019). MSC: 62G05 62J05 62R07 PDF BibTeX XML Cite \textit{C. F. Parmeter} and \textit{V. Zelenyuk}, Oper. Res. 67, No. 6, 1628--1658 (2019; Zbl 1456.62054) Full Text: DOI OpenURL
Cribari-Neto, Francisco; Pereira, Inara F. S. Testing inference in heteroskedastic linear regressions: a comparison of two alternative approaches. (English) Zbl 07193791 J. Stat. Comput. Simulation 89, No. 8, 1437-1465 (2019). MSC: 62J05 PDF BibTeX XML Cite \textit{F. Cribari-Neto} and \textit{I. F. S. Pereira}, J. Stat. Comput. Simulation 89, No. 8, 1437--1465 (2019; Zbl 07193791) Full Text: DOI Link OpenURL
Abonazel, Mohamed Reda Generalized estimators of stationary random-coefficients panel data models: asymptotic and small sample properties. (English) Zbl 1436.62409 REVSTAT 17, No. 4, 493-521 (2019). MSC: 62M10 62E20 PDF BibTeX XML Cite \textit{M. R. Abonazel}, REVSTAT 17, No. 4, 493--521 (2019; Zbl 1436.62409) Full Text: Link OpenURL
Linton, Oliver; Xiao, Zhijie Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity. (English) Zbl 1456.62073 J. Econom. 213, No. 2, 608-631 (2019). MSC: 62G08 62M10 62G20 62P20 PDF BibTeX XML Cite \textit{O. Linton} and \textit{Z. Xiao}, J. Econom. 213, No. 2, 608--631 (2019; Zbl 1456.62073) Full Text: DOI Link OpenURL
Boldea, Otilia; Cornea-Madeira, Adriana; Hall, Alastair R. Bootstrapping structural change tests. (English) Zbl 1456.62270 J. Econom. 213, No. 2, 359-397 (2019). MSC: 62P20 62J05 62M10 62G09 62E20 PDF BibTeX XML Cite \textit{O. Boldea} et al., J. Econom. 213, No. 2, 359--397 (2019; Zbl 1456.62270) Full Text: DOI arXiv OpenURL
Fan, Rui; Lee, Ji Hyung Predictive quantile regressions under persistence and conditional heteroskedasticity. (English) Zbl 1456.62188 J. Econom. 213, No. 1, 261-280 (2019). MSC: 62M10 62G09 62G20 62J05 62P20 PDF BibTeX XML Cite \textit{R. Fan} and \textit{J. H. Lee}, J. Econom. 213, No. 1, 261--280 (2019; Zbl 1456.62188) Full Text: DOI OpenURL
Machado, José A. F.; Santos Silva, J. M. C. Quantiles via moments. (English) Zbl 1456.62299 J. Econom. 213, No. 1, 145-173 (2019). MSC: 62P20 62G08 62J05 PDF BibTeX XML Cite \textit{J. A. F. Machado} and \textit{J. M. C. Santos Silva}, J. Econom. 213, No. 1, 145--173 (2019; Zbl 1456.62299) Full Text: DOI OpenURL
Pötscher, Benedikt M.; Preinerstorfer, David Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing. (English) Zbl 1429.62411 Electron. J. Stat. 13, No. 2, 3893-3942 (2019). MSC: 62M10 PDF BibTeX XML Cite \textit{B. M. Pötscher} and \textit{D. Preinerstorfer}, Electron. J. Stat. 13, No. 2, 3893--3942 (2019; Zbl 1429.62411) Full Text: DOI arXiv Euclid OpenURL
Bartalotti, Otávio Regression discontinuity and heteroskedasticity robust standard errors: evidence from a fixed-bandwidth approximation. (English) Zbl 1420.62475 J. Econom. Methods 8, No. 1, Article ID 20160007, 26 p. (2019). MSC: 62P20 62J07 62G35 62K15 PDF BibTeX XML Cite \textit{O. Bartalotti}, J. Econom. Methods 8, No. 1, Article ID 20160007, 26 p. (2019; Zbl 1420.62475) Full Text: DOI Link OpenURL
Zhang, Yuanqing; Feng, Shuhui; Jin, Fei QML estimation of the matrix exponential spatial specification panel data model with fixed effects and heteroskedasticity. (English) Zbl 1419.62258 Econ. Lett. 180, 1-5 (2019). MSC: 62M10 62F12 62H12 62E20 PDF BibTeX XML Cite \textit{Y. Zhang} et al., Econ. Lett. 180, 1--5 (2019; Zbl 1419.62258) Full Text: DOI OpenURL
Jin, Fei; Lee, Lung-fei GEL estimation and tests of spatial autoregressive models. (English) Zbl 1452.62923 J. Econom. 208, No. 2, 585-612 (2019). MSC: 62P20 62M10 62M30 62G05 62E20 PDF BibTeX XML Cite \textit{F. Jin} and \textit{L.-f. Lee}, J. Econom. 208, No. 2, 585--612 (2019; Zbl 1452.62923) Full Text: DOI OpenURL
Lütkepohl, Helmut; Schlaak, Thore Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH. (English) Zbl 1411.62257 J. Econ. Dyn. Control 101, 41-61 (2019). MSC: 62M10 62G09 62P20 PDF BibTeX XML Cite \textit{H. Lütkepohl} and \textit{T. Schlaak}, J. Econ. Dyn. Control 101, 41--61 (2019; Zbl 1411.62257) Full Text: DOI Link OpenURL
Michel, Jon; de Jong, Robert M. A model for level induced conditional heteroskedasticity. (English) Zbl 1407.62322 Stat. Probab. Lett. 145, 293-300 (2019). MSC: 62M10 62P20 PDF BibTeX XML Cite \textit{J. Michel} and \textit{R. M. de Jong}, Stat. Probab. Lett. 145, 293--300 (2019; Zbl 1407.62322) Full Text: DOI OpenURL
Miller, Steve; Startz, Richard Feasible generalized least squares using support vector regression. (English) Zbl 1410.62120 Econ. Lett. 175, 28-31 (2019). MSC: 62J02 62J10 PDF BibTeX XML Cite \textit{S. Miller} and \textit{R. Startz}, Econ. Lett. 175, 28--31 (2019; Zbl 1410.62120) Full Text: DOI OpenURL
Yamamoto, Yohei A modified confidence set for the structural break date in linear regression models. (English) Zbl 07484397 Econom. Rev. 37, No. 9, 974-999 (2018). MSC: 62J05 62G15 62M10 62P20 PDF BibTeX XML Cite \textit{Y. Yamamoto}, Econom. Rev. 37, No. 9, 974--999 (2018; Zbl 07484397) Full Text: DOI OpenURL
Chen, Jiajia; Zhang, Xiaoqin; Li, Shengjia Heteroskedastic linear regression model with compositional response and covariates. (English) Zbl 07479853 J. Appl. Stat. 45, No. 12, 2164-2181 (2018). MSC: 62Pxx PDF BibTeX XML Cite \textit{J. Chen} et al., J. Appl. Stat. 45, No. 12, 2164--2181 (2018; Zbl 07479853) Full Text: DOI OpenURL
Hwang, Jungbin; Sun, Yixiao Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework. (English) Zbl 1452.62649 J. Econom. 207, No. 2, 381-405 (2018). MSC: 62M10 62G20 62P20 PDF BibTeX XML Cite \textit{J. Hwang} and \textit{Y. Sun}, J. Econom. 207, No. 2, 381--405 (2018; Zbl 1452.62649) Full Text: DOI Link OpenURL
Henderson, Daniel J.; Sheehan, Alice Kernel-based testing with skewed and heavy-tailed data: evidence from a nonparametric test for heteroskedasticity. (English) Zbl 1407.62149 Econ. Lett. 172, 8-11 (2018). MSC: 62G10 62G08 62G20 62P05 PDF BibTeX XML Cite \textit{D. J. Henderson} and \textit{A. Sheehan}, Econ. Lett. 172, 8--11 (2018; Zbl 1407.62149) Full Text: DOI OpenURL
Dissanayake, G. S.; Peiris, M. S.; Proietti, T. Fractionally differenced Gegenbauer processes with long memory: a review. (English) Zbl 1403.62160 Stat. Sci. 33, No. 3, 413-426 (2018). MSC: 62M10 62P20 PDF BibTeX XML Cite \textit{G. S. Dissanayake} et al., Stat. Sci. 33, No. 3, 413--426 (2018; Zbl 1403.62160) Full Text: DOI Euclid OpenURL
Arvanitis, Stelios; Magdalinos, Tassos Mildly explosive autoregression under stationary conditional heteroskedasticity. (English) Zbl 1402.62192 J. Time Ser. Anal. 39, No. 6, 892-908 (2018). MSC: 62M10 62F12 62E20 60F05 60F25 PDF BibTeX XML Cite \textit{S. Arvanitis} and \textit{T. Magdalinos}, J. Time Ser. Anal. 39, No. 6, 892--908 (2018; Zbl 1402.62192) Full Text: DOI Link OpenURL
Beare, Brendan K. Unit root testing with unstable volatility. (English) Zbl 1402.62186 J. Time Ser. Anal. 39, No. 6, 816-835 (2018). MSC: 62M02 62M10 62F03 PDF BibTeX XML Cite \textit{B. K. Beare}, J. Time Ser. Anal. 39, No. 6, 816--835 (2018; Zbl 1402.62186) Full Text: DOI Link OpenURL
Jin, Fei; Lee, Lung-fei Irregular N2SLS and Lasso estimation of the matrix exponential spatial specification model. (English) Zbl 1452.62922 J. Econom. 206, No. 2, 336-358 (2018). MSC: 62P20 62H12 62M10 62J07 62E20 PDF BibTeX XML Cite \textit{F. Jin} and \textit{L.-f. Lee}, J. Econom. 206, No. 2, 336--358 (2018; Zbl 1452.62922) Full Text: DOI OpenURL
Andrade, J. A. A.; Rathie, P. N.; Farias, R. B. A. Exact Bayesian computation using H-functions. (English) Zbl 1393.33023 Comput. Appl. Math. 37, No. 2, 2277-2293 (2018). MSC: 33E50 62F15 PDF BibTeX XML Cite \textit{J. A. A. Andrade} et al., Comput. Appl. Math. 37, No. 2, 2277--2293 (2018; Zbl 1393.33023) Full Text: DOI OpenURL
Lee, Ji Hyung Limit theory for explosive autoregression under conditional heteroskedasticity. (English) Zbl 1432.62305 J. Stat. Plann. Inference 196, 30-55 (2018). MSC: 62M10 62G32 PDF BibTeX XML Cite \textit{J. H. Lee}, J. Stat. Plann. Inference 196, 30--55 (2018; Zbl 1432.62305) Full Text: DOI OpenURL
Liao, Xiao-Sai; Cai, Zong-Wu; Chen, Hai-Qiang A perspective on recent methods on testing predictability of asset returns. (English) Zbl 1399.62145 Appl. Math., Ser. B (Engl. Ed.) 33, No. 2, 127-144 (2018). MSC: 62M20 62M10 62G35 62G08 62P20 PDF BibTeX XML Cite \textit{X.-S. Liao} et al., Appl. Math., Ser. B (Engl. Ed.) 33, No. 2, 127--144 (2018; Zbl 1399.62145) Full Text: DOI OpenURL
Chen, Songnian; Lu, Xun; Zhou, Xianbo; Zhou, Yahong Nonparametric identification and estimation of truncated regression models with heteroskedasticity. (English) Zbl 1390.62057 Econom. Theory 34, No. 3, 543-573 (2018). MSC: 62G08 62G20 62P20 PDF BibTeX XML Cite \textit{S. Chen} et al., Econom. Theory 34, No. 3, 543--573 (2018; Zbl 1390.62057) Full Text: DOI OpenURL
Arvanitis, Stelios A note on stable limit theory for the OLSE with non usual rates and the heteroskedasticity robust Wald test. (English) Zbl 1388.62048 Commun. Stat., Theory Methods 47, No. 1, 28-41 (2018). MSC: 62F12 60F05 60E07 62M10 PDF BibTeX XML Cite \textit{S. Arvanitis}, Commun. Stat., Theory Methods 47, No. 1, 28--41 (2018; Zbl 1388.62048) Full Text: DOI OpenURL
Botosaru, Irene; Sasaki, Yuya Nonparametric heteroskedasticity in persistent panel processes: an application to earnings dynamics. (English) Zbl 1386.62013 J. Econom. 203, No. 2, 283-296 (2018). MSC: 62G08 62P20 PDF BibTeX XML Cite \textit{I. Botosaru} and \textit{Y. Sasaki}, J. Econom. 203, No. 2, 283--296 (2018; Zbl 1386.62013) Full Text: DOI OpenURL
Herwartz, Helmut; Walle, Yabibal M. A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility. (English) Zbl 1417.62246 Comput. Stat. 33, No. 1, 379-411 (2018). MSC: 62M10 62M07 62P20 PDF BibTeX XML Cite \textit{H. Herwartz} and \textit{Y. M. Walle}, Comput. Stat. 33, No. 1, 379--411 (2018; Zbl 1417.62246) Full Text: DOI OpenURL
Guidolin, Massimo; Pedio, Manuela Essentials of time series for financial applications. (English) Zbl 1418.62005 Amsterdam: Elsevier/Academic Press (ISBN 978-0-12-813409-2/pbk; 978-0-12-813410-8/ebook). xvi, 417 p. (2018). Reviewer: Tamás Mátrai (Edinburgh) MSC: 62-01 91-01 62P05 62M10 62M05 62J05 62H12 91B84 91G70 PDF BibTeX XML Cite \textit{M. Guidolin} and \textit{M. Pedio}, Essentials of time series for financial applications. Amsterdam: Elsevier/Academic Press (2018; Zbl 1418.62005) Full Text: Link OpenURL
Amado, Cristina; Teräsvirta, Timo Specification and testing of multiplicative time-varying GARCH models with applications. (English) Zbl 07537900 Econom. Rev. 36, No. 4, 421-446 (2017). MSC: 62P20 PDF BibTeX XML Cite \textit{C. Amado} and \textit{T. Teräsvirta}, Econom. Rev. 36, No. 4, 421--446 (2017; Zbl 07537900) Full Text: DOI OpenURL
Bersimis, Sotirios; Degiannakis, Stavros; Georgakellos, Dimitrios Real-time monitoring of carbon monoxide using value-at-risk measure and control charting. (English) Zbl 07282028 J. Appl. Stat. 44, No. 1, 89-108 (2017). MSC: 62-XX PDF BibTeX XML Cite \textit{S. Bersimis} et al., J. Appl. Stat. 44, No. 1, 89--108 (2017; Zbl 07282028) Full Text: DOI Link OpenURL
Song, Yunquan; Dong, Ping; Wang, Xiuli; Lin, Lu Rapid penalized likelihood-based outlier detection via heteroskedasticity test. (English) Zbl 07191997 J. Stat. Comput. Simulation 87, No. 6, 1206-1229 (2017). MSC: 62G08 62H99 PDF BibTeX XML Cite \textit{Y. Song} et al., J. Stat. Comput. Simulation 87, No. 6, 1206--1229 (2017; Zbl 07191997) Full Text: DOI OpenURL
Li, Shunyong; Zhang, Nahui; Zhang, Xiaoqin; Wang, Guannan A new heteroskedasticity-consistent covariance matrix estimator and inference under heteroskedasticity. (English) Zbl 07191932 J. Stat. Comput. Simulation 87, No. 1, 198-210 (2017). MSC: 62G05 62G35 PDF BibTeX XML Cite \textit{S. Li} et al., J. Stat. Comput. Simulation 87, No. 1, 198--210 (2017; Zbl 07191932) Full Text: DOI OpenURL
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; Taylor, A. M. Robert Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. (English) Zbl 1456.62182 J. Econom. 198, No. 1, 165-188 (2017). MSC: 62M10 62F12 62F03 62E20 62P20 PDF BibTeX XML Cite \textit{G. Cavaliere} et al., J. Econom. 198, No. 1, 165--188 (2017; Zbl 1456.62182) Full Text: DOI Link OpenURL
Mohammadi, Mohammad Prediction of \(\alpha\)-stable GARCH and ARMA-GARCH-M models. (English) Zbl 1397.62316 J. Forecast. 36, No. 7, 859-866 (2017). MSC: 62M10 62P12 62P20 91B84 PDF BibTeX XML Cite \textit{M. Mohammadi}, J. Forecast. 36, No. 7, 859--866 (2017; Zbl 1397.62316) Full Text: DOI OpenURL
Richard, Patrick Robust heteroskedasticity-robust tests. (English) Zbl 1401.62112 Econ. Lett. 159, 28-32 (2017). MSC: 62J05 62H15 62P20 PDF BibTeX XML Cite \textit{P. Richard}, Econ. Lett. 159, 28--32 (2017; Zbl 1401.62112) Full Text: DOI OpenURL
Lütkepohl, Helmut; Netšunajev, Aleksei Structural vector autoregressions with smooth transition in variances. (English) Zbl 1401.91505 J. Econ. Dyn. Control 84, 43-57 (2017). MSC: 91B84 62M10 91B64 PDF BibTeX XML Cite \textit{H. Lütkepohl} and \textit{A. Netšunajev}, J. Econ. Dyn. Control 84, 43--57 (2017; Zbl 1401.91505) Full Text: DOI OpenURL
Chen, Ranran; Li, Gaorong Testing for heteroskedasticity in panel data models with interactive fixed effects. (Chinese. English summary) Zbl 1399.62016 Acta Math. Sin., Chin. Ser. 60, No. 5, 763-778 (2017). MSC: 62F03 62F05 62J10 PDF BibTeX XML Cite \textit{R. Chen} and \textit{G. Li}, Acta Math. Sin., Chin. Ser. 60, No. 5, 763--778 (2017; Zbl 1399.62016) OpenURL
Paul, Chinmoy; Vishwakarma, Gajendra K. Back propagation neural networks and multiple regressions in the case of heteroskedasticity. (English) Zbl 1385.62028 Commun. Stat., Simulation Comput. 46, No. 9, 6772-6789 (2017). MSC: 62M45 62H30 62J05 PDF BibTeX XML Cite \textit{C. Paul} and \textit{G. K. Vishwakarma}, Commun. Stat., Simulation Comput. 46, No. 9, 6772--6789 (2017; Zbl 1385.62028) Full Text: DOI OpenURL
Çelik, Reşit; Erar, Aydın An alternative method correcting BDR type of heteroskedasticity by the weighting re-estimated absolute residuals. (English) Zbl 1462.62410 Commun. Stat., Theory Methods 46, No. 23, 11514-11538 (2017). MSC: 62J05 62J20 PDF BibTeX XML Cite \textit{R. Çelik} and \textit{A. Erar}, Commun. Stat., Theory Methods 46, No. 23, 11514--11538 (2017; Zbl 1462.62410) Full Text: DOI OpenURL