Journal of the American Statistical Association · 1997 · 302 citations · 0 references
Social SciencesEconomicsFinanceEconometricsFinancial EconomicsMacroeconomicsPanel Data AnalysisPanel Data MethodsTime Series EconometricsTime Series ForecastingTime Series ModelingVolatility ModelingAutoregressive Time Series ModelsFinancial Time Series ForecastingGeneralized Autoregressive Conditional Heteroskedasticity ModelsLikelihood-based InferenceNon-stationary Time SeriesPanel Data RegressionPanel Time Series ModelsStationary Time Series
Statistical Aspects of ARCH and Scholastic Volatility Likelihood-Based Inference for Cointegration of Some Non-Stationary Time Series Forecasting in Macroeconomics Longitudinal Panel Data: An Overview of Current Methodology