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stat.ME2020
Investigating linear relationships between non constant variances of economic variables
Junichi Hirukawa, Hamdi Raïssi
In this paper we aim to assess linear relationships between the non constant variances of economic variables. The proposed methodology is based on a bootstrap cumulative sum (CUSUM…
stat.ME2020★ 1 cited
Orthogonal Impulse Response Analysis in Presence of Time-Varying Covariance
Valentin Patilea, Hamdi Raïssi
In this paper the orthogonal impulse response functions (OIRF) are studied in the non-standard, though quite common, case where the covariance of the error vector is not constant i…
stat.ME2017
Testing normality for unconditionally heteroscedastic macroeconomic variables
Hamdi Raïssi
In this paper the testing of normality for unconditionally heteroscedastic macroeconomic time series is studied. It is underlined that the classical Jarque-Bera test (JB hereafter)…