𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Generalized instrumental variables estimation of autoregressive conditional heteroskedastic models

✍ Scribed by Robert W. Rich; Jennie Raymond; J.S. Butler

Book ID
116101230
Publisher
Elsevier Science
Year
1991
Tongue
English
Weight
481 KB
Volume
35
Category
Article
ISSN
0165-1765

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Improved instrumental variables estimati
Improved instrumental variables estimation of simultaneous equations under conditionally heteroskedastic disturbances
✍ Emma M. Iglesias; Garry D. A. Phillips πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 207 KB

## Abstract In this paper we develop estimation techniques and a specification test for the validity of instrumental variables allowing for conditionally heteroskedastic disturbances. We propose modified two‐stage least squares (2SLS) and modified 3SLS procedures where the conditional heteroskedast