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

Nikolaos Kourogenis

Economics Bulletin, 2015, vol. 35, issue 3, 1675-1680

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.

Keywords: Autoregression; Polynomial trend; Nonstationary volatility; Eicker-White covariance matrix estimator; Wild bootstrap (search for similar items in EconPapers)
JEL-codes: C1 C2 (search for similar items in EconPapers)
Date: 2015-07-24
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