The main econometric issue in testing the Lucas (1973) hypothesis in a time series context is estimation of the forecast-error variance conditional on past ...

There are several approaches to dealing with heteroscedasticity. If the error variance at different times is known, weighted regression is a good method. If, as is ...

In the prediction of genetic values and quantitative trait loci (QTLs) mapping via the mixed model method incorporating marker information in animal populations, it is important to model the genetic ...

In addition, you can consider the model with disturbances following an autoregressive process and with the GARCH errors. The AR(m)-GARCH(p,q) regression model is denoted Nelson and Cao (1992) proposed ...

This is a preview. Log in through your library . Abstract Fan and Yao (1998) proposed an efficient method to estimate the conditional variance of heteroskedastic regression models. Chen, Cheng, and ...