Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
作者： Tim Bollerslev , Jeffrey M. Wooldridge
DOI: 10.1080/07474939208800229
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摘要: … Note chat for the LM test we require only … The HE LM test given by the regression in (3.9) that exploits block diagonality of the information matrix for AR(2) errors is readily 2 -- 1 - --I …
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