Econometrics II

We used the afore-examined CLT in order to derive conditions that ensure that the OLSE in the particular 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 may also affect properties of inferential procedures based on the estimator. You can find notes for the above here.

In this context we were occupied with the consideration of a feasible semi-parametric estimator for the asymptotic variance that is consistent. We then used it to construct a feasible and asymptotically exact and consistent Wald-type testing procedure for the AR(1) coefficient. You can find notes for the above here.