Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity

DOI10.1016/j.jeconom.2012.01.017zbMath1443.62240OpenAlexW3125469818MaRDI QIDQ527995

Patrik Guggenberger, Donald W. K. Andrews

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612000279

zbMATH Keywords

asymptotic distributionconditional heteroskedasticityleast squaresgeneralized least squaresautoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (9)

On the choice of test for a unit root when the errors are conditionally heteroskedastic ⋮ LEAST SQUARES AND IVX LIMIT THEORY IN SYSTEMS OF PREDICTIVE REGRESSIONS WITH GARCH INNOVATIONS ⋮ Limit theory for explosive autoregression under conditional heteroskedasticity ⋮ Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process ⋮ Quasi-generalized least squares regression estimation with spatial data ⋮ Inference in continuous systems with mildly explosive regressors ⋮ Generic results for establishing the asymptotic size of confidence sets and tests ⋮ Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity ⋮ NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS

Cites Work

• Limit theory for moderate deviations from a unit root
• Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity
• Testing the autoregressive parameter with the t statistic
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Asymptotic inference for nearly nonstationary AR(1) processes
• Distribution theory for unit root tests with conditional heteroskedasticity
• Mixing: Properties and examples
• Generalized autoregressive conditional heteroscedasticity
• Uniform Limit Theory for Stationary Autoregression
• ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP
• Hybrid and Size-Corrected Subsampling Methods
• Continuous Time Approximations to GARCH and Stochastic Volatility Models
• Towards a unified asymptotic theory for autoregression
• Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• Uniform Inference in Autoregressive Models
• Tests for Unit Roots and the Initial Condition
• Confidence intervals for autoregressive coefficients near one

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