Autocorrelation and heteroskedasticity in equations describing the demand for money during rapid inflations
Estimating econometric equations with linear autoregressive error terms is standard if the covariance matrix of these error terms are homoskedastic. However, if heteroskedasticity prevails, this heteroskedasticity should be taken into account in order to obtain efficient estimates. In this paper, th...
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| Main Author: | |
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| Format: | Article (Journal) |
| Language: | English |
| Published: |
March 1993
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| In: |
Empirical economics
Year: 1993, Volume: 18, Issue: 1, Pages: 1-19 |
| ISSN: | 1435-8921 |
| DOI: | 10.1007/BF01238877 |
| Subjects: | |
| Online Access: | Verlag, lizenzpflichtig, Volltext: https://doi.org/10.1007/BF01238877
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| Author Notes: | Hans Jürgen Jaksch (Alfred Weber Institut der Universität, Grabengasse 14, 6900 Heidelberg, Germany) |
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