Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator

Nikolaos Kourogenis and Nikitas Pittis ()

Economics Letters, 2010, vol. 106, issue 2, 84-86

Abstract: This paper focuses on first-order autoregressive models in which the noise variance increases without bound. Although this specification violates a standard assumption made in the relevant literature, namely that of bounded noise variance, it is proved that the well-known Eicker-White estimator remains a consistent estimator of the asymptotic variance of the OLS estimator.

Keywords: Polynomial-like; noise; variance; Asymptotic; variance; Order; of; variance; growth; Eicker-White; variance; estimator (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:106:y:2010:i:2:p:84-86

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