Erschienen in:Cowles Foundation Discussion Paper ; No. 1665R
Umfang:
1 Online-Ressource (54 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.1580015
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 29, 2010 erstellt
Beschreibung:
This paper considers a first-order autoregressive model with conditionally heteroskedastic innovations. The asymptotic distributions of least squares (LS), infeasible generalized least squares (GLS), and feasible GLS estimators and t statistics are determined. The GLS procedures allow for misspecification of the form of the conditional heteroskedasticity and, hence, are referred to as quasi-GLS procedures. The asymptotic results are established for drifting sequences of the autoregressive parameter and the distribution of the time series of innovations. In particular, we consider the full range of cases in which the autoregressive parameter rho_{n} satisfies (i) n(1 - rho_{n}) approaching infinity and (ii) n(1 - rho_{n}) approaching h in [0,infinity) as n approaching infinity, where n is the sample size. Results of this type are needed to establish the uniform asymptotic properties of the LS and quasi-GLS statistics