Phillips, Peter C. B.; Xu, Ke-Li - In: Journal of Time Series Analysis 27 (2006) 2, pp. 289-308
A scalar pth-order autoregression (AR(p)) is considered with heteroskedasticity of the unknown form delivered by a transition function of time. A limit theory is developed and three heteroskedasticity-robust test statistics are proposed for inference, one of which is based on the nonparametric...