کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097540 | 1376595 | 2007 | 30 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Nonstationary nonlinear heteroskedasticity in regression
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This paper considers the regression with errors having nonstationary nonlinear heteroskedasticity. For both the usual stationary regression and the nonstationary cointegrating regression, we develop the asymptotic theories for the least squares methods in the presence of conditional heterogeneity given as a nonlinear function of an integrated process. In particular, we show that the nonstationarity of volatility in the regression errors may induce spuriousness of the underlying regression, if excessive nonstationary volatility is present in the errors. Mild nonstationary volatilities do not render the underlying regression spurious, but their presence makes the least squares estimator asymptotically biased and inefficient and the usual chi-square test invalid.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 137, Issue 1, March 2007, Pages 230-259
Journal: Journal of Econometrics - Volume 137, Issue 1, March 2007, Pages 230-259
نویسندگان
Heetaik Chung, Joon Y. Park,