The importance of being able to detect heteroscedasticity in regression is widely recognized because efficient inference for the regression function requires that heteroscedasticity is taken into ...

Previous time series applications of qualitative response models have ignored features of the data, such as conditional heteroscedasticity, that are routinely addressed in time series econometrics of ...

The Lagrange multiplier (LM) tests also indicate heteroscedasticity. These tests can also help determine the order of the ARCH model appropriate for modeling the heteroscedasticity, assuming that the ...

Limitations of GARCH and Heteroscedasticity Specifications When you specify both the GARCH= option and the HETERO statement, the GARCH= (TYPE=EXP) option is not valid. The COVEST= option is not ...