distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that …

heteroskedasticity of unknown form. We prove a joint central limit theorem for the VAR slope parameter and innovation covariance … also show that wild and pairwise bootstrap schemes fail in the presence of conditional heteroskedasticity if inference on … dramatically in the presence of conditional heteroskedasticity. Moreover, most inference methods are likely to understate the true …

and spatial moving average parameters is generally inconsistent when heteroskedasticity is not considered in the …