Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096460 | Journal of Econometrics | 2012 | 15 Pages |
Abstract
We consider a first-order autoregressive model with conditionally heteroskedastic innovations. The asymptotic distributions of least squares (LS), infeasible generalized least squares (GLS), and feasible GLS estimators and t statistics are determined. The GLS procedures allow for misspecification of the form of the conditional heteroskedasticity and, hence, are referred to as quasi-GLS procedures. The asymptotic results are established for drifting sequences of the autoregressive parameter Ïn and the distribution of the time series of innovations. In particular, we consider the full range of cases in which Ïn satisfies n(1âÏn)ââ and n(1âÏn)âh1â[0,â) as nââ, where n is the sample size. Results of this type are needed to establish the uniform asymptotic properties of the LS and quasi-GLS statistics.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Donald W.K. Andrews, Patrik Guggenberger,