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Opened 18 years ago

Last modified 17 years ago

#631 accepted enhancement

Dynamic Heterocedasticity of Variance in BSR

Reported by: Víctor de Buen Remiro Owned by: Víctor de Buen Remiro
Priority: normal Milestone: BSR extensions
Component: Math Version: 2.0.1
Severity: major Keywords: BSR, Heterocedasticity
Cc:

Description

Dynamic Heterocedasticity of Variance can be treated in a BSR specialized master with

  1. a main Gibbs block having an standard BSR model
  2. a Gibbs block for each heterocedastic variance that have another standard BSR over the squares of residuals of its segment

Change History (4)

comment:1 Changed 18 years ago by Víctor de Buen Remiro

Milestone: → BSR extensions
Version: → 2.0.1

comment:2 Changed 17 years ago by Víctor de Buen Remiro

Severity: blocker → normal

comment:3 Changed 17 years ago by Víctor de Buen Remiro

Severity: normal → major

comment:4 Changed 17 years ago by Víctor de Buen Remiro

Status: new → accepted
Type: task → enhancement
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