• nlmdl

  • Referenced in 112 articles [sw27811]
  • correct variance estimates for heteroskedasticity and/or serial correlation. For simultaneous nonlinear systems, possibly in implicit...
  • DEoptim

  • Referenced in 39 articles [sw08656]
  • Markov-Switching Generalized AutoRegressive Conditional Heteroskedasticity (MSGARCH) model for the returns of the Swiss Market...
  • fGarch

  • Referenced in 23 articles [sw09994]
  • package fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling: Environment for teaching ”Financial Engineering and Computational Finance...
  • xtabond2

  • Referenced in 15 articles [sw20376]
  • those fixed effects--idiosyncratic errors that are heteroskedastic and correlated within but not across individuals...
  • ivreg2

  • Referenced in 5 articles [sw31884]
  • option); kernel-based autocorrelation-consistent (AC) and heteroskedastic and autocorrelation-consistent (HAC) estimation, with user ... specified choice of kernel; Cragg’s ”heteroskedastic OLS” (HOLS) estimator; default reporting of large-sample...
  • OGLM

  • Referenced in 2 articles [sw14973]
  • models that explicitly specify the determinants of heteroskedasticity in an attempt to understand and correct ... variables that are allowed when modeling heteroskedasticity. Stata 9 or 10 users should use oglm9...
  • IVREG2H

  • Referenced in 1 article [sw31887]
  • module to perform instrumental variables estimation using heteroskedasticity-based instruments. ivreg2h estimates an instrumental variables ... that are uncorrelated with the product of heteroskedastic errors, which is a feature of many...
  • Ranktest

  • Referenced in 1 article [sw31899]
  • when disturbances are heteroskedastic or autocorrelated, the test statistics are no longer valid. The Kleibergen ... that are robust to various forms of heteroskedasticity, autocorrelation, and clustering...
  • GARCH Toolbox

  • Referenced in 1 article [sw14890]
  • time series in the presence of conditional heteroskedasticity. Supporting functions perform tasks such...
  • ARCH

  • Referenced in 1 article [sw27756]
  • ARCH models in Python: Autoregressive Conditional Heteroskedasticity (ARCH) and other tools for financial econometrics, written...
  • REndo

  • Referenced in 0 articles [sw17790]
  • approach as well as Lewbel’s (2012) heteroskedasticity approach, Park and Gupta’s (2012) joint...
  • EViews

  • Referenced in 31 articles [sw00254]
  • Eviews supports general statistical analysis and econometric analyses...
  • GAUSS

  • Referenced in 114 articles [sw00322]
  • The GAUSS Mathematical and Statistical System is a...
  • JMulTi

  • Referenced in 30 articles [sw00477]
  • JMulTi was originally designed as a tool for...
  • Mathematica

  • Referenced in 5703 articles [sw00554]
  • Almost any workflow involves computing results, and that...
  • Matlab

  • Referenced in 11496 articles [sw00558]
  • MATLAB® is a high-level language and interactive...
  • R

  • Referenced in 7624 articles [sw00771]
  • R is a language and environment for statistical...
  • GLIM

  • Referenced in 177 articles [sw01126]
  • GLIM - a system for interactive fitting of generalized...
  • S-PLUS

  • Referenced in 563 articles [sw02892]
  • S-PLUS is a powerful environment for statistical...
  • CUDA

  • Referenced in 1136 articles [sw03258]
  • The NVIDIA® CUDA® Toolkit provides a comprehensive development...