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Inference in Autoregression under Heteroskedasticity

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  • Peter C. B. Phillips
  • Ke‐Li Xu

Abstract

. 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.

Suggested Citation

  • Peter C. B. Phillips & Ke‐Li Xu, 2006. "Inference in Autoregression under Heteroskedasticity," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(2), pages 289-308, March.
    • Handle: RePEc:bla:jtsera:v:27:y:2006:i:2:p:289-308
    DOI: 10.1111/j.1467-9892.2005.00466.x
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    References listed on IDEAS

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    1. Davidson, James, 1994. "Stochastic Limit Theory: An Introduction for Econometricians," OUP Catalogue, Oxford University Press, number 9780198774037.
    2. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2007. "Testing for unit roots in time series models with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 140(2), pages 919-947, October.
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