Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator

DOI10.1016/J.ECONLET.2009.10.008MaRDI QIDQ2270348zbMATH OpenOpenAlexFDO

Authors Nikitas Pittis, Nikolaos C. Kourogenis

Publication date 18 March 2010

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2009.10.008

zbMATH Keywords

asymptotic varianceEicker-White variance estimatororder of variance growthpolynomial-like noise variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Heteroscedasticity in Models with Lagged Dependent Variables
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• On the Stable Paretian Behavior of Stock-Market Prices
• Testing for a unit root under errors with just barely infinite variance

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