Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Home> Publications> Econometrica>Estimating Regression Models with Multiplicative Heteroscedasticity

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.

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