A limit theory is developed for mildly explosive autoregressions under stationary (weakly or strongly dependent …. These effects are cancelled out in least squares regression theory and thereby the Cauchy limit theory of Phillips and …

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … descriptive statistics, autocorrelation function (ACF) and Ljung-Box Q (LB-Q) statistics, as well as the autoregressive … conditional heteroscedasticity Lagrange multiplier (ARCHLM) techniques in conducting the empirical analysis. Descriptive …

residuals to identify heteroscedastic components. We show that conditional heteroscedasticity truly present in the data can be … power to detect conditional heteroscedasticity. Furthermore, the proposed statistics can help to decide which component is … experiments. Finally, we use auxiliary residuals to detect conditional heteroscedasticity in monthly inflation series of eight …