Inference in Autoregression under Heteroskedasticity (Q3440759): Difference between revisions

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+Chi-Square Diagnostic Tests for Econometric Models: Theory
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Large Sample Properties of Parameter Estimates for Periodic ARMA Models
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+On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
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+Asymptotics for unit root tests under Markov regime‐switching
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+Unit Root Tests under Time-Varying Variances
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+Testing for unit roots in time series models with non-stationary volatility
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+Nonparametric estimation of volatility models with serially dependent innovations
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+Fitting time series models to nonstationary processes
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+Stochastic Limit Theory
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+Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
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+Large sample properties of parameter least squares estimates for time‐varying arma models
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+Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
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+Testing for a unit root in the presence of a variance shift
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+Unit root tests with a break in innovation variance.
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+Optimal instrumental variables estimation for ARMA models
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+Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
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+Distribution theory for unit root tests with conditional heteroskedasticity
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