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| Author: | Hansen, B. |
| Title: | Regression with nonstationary volatility |
| Journal: | Econometrica
1995 : SEP, VOL. 63:5, p. 1113-1132 |
| Index terms: | THEORIES TIME SERIES ESTIMATION |
| Language: | eng |
| Abstract: | A new asymptotic theory of regression is introduced for possibly nonstationary time series. The regressors are assumed to be generated by a linear process with martingale difference innovation. The conditional variances of these martingale differences are specified as autoregressive stochastic volatility processes, with autoregressive roots which are local to unity. The authors find conditions under which the least squares estimates are consistent and asymptotically normal. |
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