Econometrics II

We have completed the examination of the limit theory of the OLSE for the autoregressive parameter for an appropriate form of an AR(1)-ARCH(1) process. You can find notes for this here and compare our derivations with the analogous ones we have derived in previous lectures, for an AR(1) process with a different form of conditional hereoskedasticity (see for example here and here). We have essentially seen that the asymptotic variance estimator and the subsequent Wald-type testing procedure have robust properties under both forms of conditional heteroskedasticity.

We begun our examination of introductory notions of unit root econometrics. We initiated into some preparatory work involving the notion of the Wiener process. You can find notes on the above here.