In this paper, we introduce a new identification and estimation strategy for partially linear regression models with a general form of unknown heteroscedasticity, that is, Y = X'β₀ + m(Z) + U and U = ...

Robust inference in time series analysis is concerned with developing statistical methods that remain valid under departures from standard model assumptions, such as the presence of heteroskedasticity ...

This article introduces a new model called the buffered autoregressive model with generalized autoregressive conditional heteroscedasticity (BAR-GARCH). The proposed model, as an extension of the BAR ...