Browsing by Subject "Heteroscedasticity"
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(2009)The evolution of financial markets is a complicated real-world phenomenon that ranks at the top in terms of difficulty of modeling and/or prediction. One reason for this difficulty is the well-documented nonlinearity that ...
(Springer New York LLC, 2014)In linear regression with heteroscedastic errors, the Generalized Least Squares (GLS) estimator is optimal, i.e., it is the Best Linear Unbiased Estimator (BLUE). The Ordinary Least Squares (OLS) estimator is suboptimal ...