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Polynomial Trends, Nonstationary Volatility and the Eicker-White Asymptotic Variance Estimator

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  • Nikolaos Kourogenis

    (University of Piraeus)

Abstract

The problem of inference in autoregressions around polynomial trends, under nonstationary, possibly explosive, volatility is investigated. It is shown that the well-known t-statistics that incorporate the Eicker-White covariance matrix estimator are asymptotically standard normal. Simulation results show that the application of a residual-based recursive-design wild bootstrap reduces significantly the size distortions in small samples.

Suggested Citation

  • Nikolaos Kourogenis, 2015. "Polynomial Trends, Nonstationary Volatility and the Eicker-White Asymptotic Variance Estimator," Economics Bulletin, AccessEcon, vol. 35(3), pages 1675-1680.
    • Handle: RePEc:ebl:ecbull:eb-15-00344
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Autoregression; Polynomial trend; Nonstationary volatility; Eicker-White covariance matrix estimator; Wild bootstrap;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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