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

DOI10.1016/j.econlet.2009.10.008zbMath1185.62158MaRDI QIDQ2270348

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 variance; Eicker-White variance estimator; order of variance growth; polynomial-like noise variance

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

Cites Work

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• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices