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Heteroskedasticity


Topic Classification Year Article Notes

Panel Data, Serial Correlation, Specification Testing 2010 “Testing for Heteroskedasticity and Serial Correlation in a Random Effects Panel Data Model,” with Seuck Heun Song and Byoung Cheol Jung, Journal of Econometrics , Vol. 154 (February, 2010), pp. 122-124. CPR # 111
       
Panel Data, Spatial Econometrics, Specification Testing 2009 “Testing for Heteroskedasticity and Spatial Correlation in a Random Effects Panel Data Model,” with Seuck Heun Song, and Jae Hyeok Kwon, Computational Statistics and Data Analysis, Vol. 53 (June, 2009), pp. 2897-2922. CPR # 108
       
Panel Data, Specification Testing 2006 “Joint LM Test for Heteroskedasticity in a One-Way Error Component Model,” with Georges Bresson and Alain Pirotte, Journal of Econometrics, Vol. 134 (October, 2006), pp. 401-417. CPR # 72
       
Panel Data 2005 “Adaptive Estimation of Heteroskedastic Error Component Models,” with Georges Bresson and Alain Pirotte, Econometric Reviews, Vol. 24 (2005), pp.39-58.  
       
Functional Forms, Serial Correlations 2000 “Double-Length Regressions for the Box-Cox Difference Model with Heteroskedasticity or Autocorrelation,” with Dong Li, Economics Letters, Vol. 69 (October, 2000), pp. 9-14.  
       
Panel Data 1988 “A Generalized Error Component Model with Heteroscedastic Disturbances,” with James M. Griffin, International Economic Review, Vol. 29 (November, 1988), pp. 745-753.  

Updated: February 2011