Inference in autoregression under heteroskedasticity

被引：53
|
作者：
Phillips, PCB [1 ]
Xu, KL [1 ]
机构：
[1] Yale Univ, New Haven, CT 06520 USA
来源：
JOURNAL OF TIME SERIES ANALYSIS | 2006年 / 27卷 / 02期
关键词：
autoregression; heterogeneity; nonparametric estimation; robust inference;
D O I：
10.1111/j.1467-9892.2005.00466.x
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
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 estimation of the variance function. The performance of the resulting testing procedures in finite samples is compared in simulations and some suggestions for practical application are given.
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页码：289 / 308
页数：20
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