Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity
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Publication:527995
DOI10.1016/j.jeconom.2012.01.017zbMath1443.62240MaRDI 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
asymptotic distribution; conditional heteroskedasticity; least squares; generalized least squares; autoregression
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
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