Testing for a Fractional Unit Root in Time Series Regression Chingnun Lee, Tzu-Hsiang Liao2 and Fu-Shuen Shie Inst. of Economics, National Sun Yat-sen Univ Kaohsiung, Taiwan Dept. of Finance, National Central Univ, Chung-Li, Taiwan
Ch. 9 Heteroscedasticity Regression disturbances whose variance are not constant across observations are heteroscedastic. In the heteroscedastic model we assume that