Econometrica: May 1976, Volume 44, Issue 3
Estimating Regression Models with Multiplicative Heteroscedasticity
https://doi.org/0012-9682(197605)44:3<461:ERMWMH>2.0.CO;2-B
p.
461-465
A. C. Harvey
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.Log In To View Full Content