Publisher
Springer Berlin Heidelberg
Reference59 articles.
1. For additional readings consult the econometrics books cited in the Preface. Recent chapters on het-eroskedasticity and autocorrelation include Griffiths (2001) and King (2001):
2. Ali, M.M. and C. Giaccotto (1984), “A study of Several New and Existing Tests for Heteroskedasticity in the General Linear Model,” Journal of Econometrics, 26: 355–373.
3. Amemiya, T. (1973), “Regression Analysis When the Variance of the Dependent Variable is Proportional to the Square of its Expectation,” Journal of the American Statistical Association, 68: 928–934.
4. Amemiya, T. (1977), “A Note on a Heteroskedastic Model,” Journal of Econometrics, 6: 365–370.
5. Andrews, D.W.K. (1991), “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation,” Econometrica, 59: 817–858.