A note on stable limit theory for the OLSE with non usual rates and the heteroskedasticity robust Wald test

DOI10.1080/03610926.2017.1300277MaRDI QIDQ4638680zbMATH OpenOpenAlexFDO

Authors Stelios Arvanitis

Publication date 27 April 2018

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2017.1300277

zbMATH Keywords

APT modelasymptotic exactnessasymptotically locally unbiased testconsistencydomain of attractionheteroskedasticity robust Wald testmartingale limit theoremmartingale transformnon standard rateOLSEslow variationstable distributionsubsamplingtruncated moment

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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