AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY WITH ESTIMATES OF THE VARIANCE OF UNITED-KINGDOM INFLATION

被引:10389
作者
ENGLE, RF [1 ]
机构
[1] UNIV LONDON LONDON SCH ECON & POLIT SCI,LONDON WC2A 2AE,ENGLAND
关键词
D O I
10.2307/1912773
中图分类号
F [经济];
学科分类号
02 ;
摘要
引用
收藏
页码:987 / 1007
页数:21
相关论文
共 18 条
[1]   REGRESSION-ANALYSIS WHEN VARIANCE OF DEPENDENT VARIABLE IS PROPORTIONAL TO SQUARE OF ITS EXPECTATION [J].
AMEMIYA, T .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1973, 68 (344) :928-934
[2]  
ANDERSON TW, 1958, STATISTICAL ANAL TIM
[3]  
BELSLEY D, 1979, EUROPEAN M ECONOMETR
[4]   THE LAGRANGE MULTIPLIER TEST AND ITS APPLICATIONS TO MODEL-SPECIFICATION IN ECONOMETRICS [J].
BREUSCH, TS ;
PAGAN, AR .
REVIEW OF ECONOMIC STUDIES, 1980, 47 (01) :239-253
[5]  
BREUSCH TS, 1978, ECONOMETRICA, V46, P1287
[6]  
Cox D.R., 1974, THEORETICAL STAT
[7]  
CROWDER MJ, 1976, J ROY STAT SOC B MET, V38, P45
[8]   ECONOMETRIC MODELING OF THE AGGREGATE TIME-SERIES RELATIONSHIP BETWEEN CONSUMERS EXPENDITURE AND INCOME IN THE UNITED-KINGDOM [J].
DAVIDSON, JEH ;
HENDRY, DF ;
SRBA, F ;
YEO, S .
ECONOMIC JOURNAL, 1978, 88 (352) :661-692
[9]  
ENGLE RF, 1979, 7943 U CAL SAN DIEG
[10]  
ENGLE RF, 1980, 8014 U CAL SAN DIEG