Inference in Autoregression under Heteroskedasticity∗
نویسندگان
چکیده
A scalar p-th order autoregression (AR(p)) is considered with heteroskedasticity of unknown form delivered by a smooth transition function of time. A limit theory is developed and three heteroskedasticity-robust tests statistics are proposed for inference, one of which is based on the nonparametric estimation of the variance function. The performance of the resulting testing procedures in finite samples are compared in simulations and some suggestions for practical application are given.
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تاریخ انتشار 2005