Econometrics II

We used the aforeexamined CLT in order to derive conditions that ensure that the OLSE in the aforementioned context of the stationary and ergodic AR(1) model has the usual rate and it is asymptotically normal. We verified the conditions and evaluated the asymptotic variance in the context of the aforementioned example, which showed that the presence of conditional heteroskedasticity may affect the asymptotic properties of the estimator, and thereby pmay also affect properties of inferential procedures based on the estimator.