Open Access. Powered by Scholars. Published by Universities.®
Social and Behavioral Sciences Commons™
Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 3 of 3
Full-Text Articles in Social and Behavioral Sciences
Asymptotics For Ls, Gls, And Feasible Gls Statistics In An Ar(1) Model With Conditional Heteroskedasticity, Donald W.K. Andrews, Patrik Guggenberger
Asymptotics For Ls, Gls, And Feasible Gls Statistics In An Ar(1) Model With Conditional Heteroskedasticity, Donald W.K. Andrews, Patrik Guggenberger
Cowles Foundation Discussion Papers
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 ρ n satisfies (i) n(1 - ρ n ) → ∞ and …
Asymptotics For Ls, Gls, And Feasible Gls Statistics In An Ar(1) Model With Conditional Heteroskedaticity, Donald W.K. Andrews, Patrik Guggenberger
Asymptotics For Ls, Gls, And Feasible Gls Statistics In An Ar(1) Model With Conditional Heteroskedaticity, Donald W.K. Andrews, Patrik Guggenberger
Cowles Foundation Discussion Papers
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 ρ n satisfies (i) n (1 - ρ n ) → ∞ …
Asymptotics For Ls, Gls, And Feasible Gls Statistics In An Ar(1) Model With Conditional Heteroskedaticity, Donald W.K. Andrews, Patrik Guggenberger
Asymptotics For Ls, Gls, And Feasible Gls Statistics In An Ar(1) Model With Conditional Heteroskedaticity, Donald W.K. Andrews, Patrik Guggenberger
Cowles Foundation Discussion Papers
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 rhon satisfies (i) n (1 – ρ n ) → ∞ and …