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Estimating Regression Models with Multiplicative Heteroscedasticity
A. C. Harvey
Vol. 44, No. 3 (May, 1976), pp. 461-465
Published by: The Econometric Society
Stable URL: http://www.jstor.org/stable/1913974
Page Count: 5
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A regression model in which the disturbances exhibit a certain type of heteroscedasticity is considered. Maximum likelihood methods of estimation are developed and compared with the two-step estimation procedure. A likelihood ratio test for heteroscedasticity is suggested.
Econometrica © 1976 The Econometric Society