Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity
Year of publication: |
2012
|
---|---|
Authors: | Andrews, Donald W.K. ; Guggenberger, Patrik |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 169.2012, 2, p. 196-210
|
Publisher: |
Elsevier |
Subject: | Asymptotic distribution | Autoregression | Conditional heteroskedasticity | Generalized least squares | Least squares |
-
Andrews, Donald W.K., (2008)
-
Andrews, Donald W.K., (2008)
-
Andrews, Donald W.K., (2008)
- More ...
-
Andrews, Donald W.K., (2009)
-
A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter
Andrews, Donald W.K., (2011)
-
Andrews, Donald W.K., (2008)
- More ...