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

C-Tier
Journal: Economics Letters
Year: 2010
Volume: 106
Issue: 2
Pages: 84-86

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:106:y:2010:i:2:p:84-86
Journal Field
General
Author Count
2
Added to Database
2026-01-25