A note on stable limit theory for the OLSE with non usual rates and the heteroskedasticity robust Wald test

DOI10.1080/03610926.2017.1300277zbMath1388.62048OpenAlexW2736389267MaRDI QIDQ4638680

Stelios Arvanitis

Publication date: 27 April 2018

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1300277

zbMATH Keywords

consistencydomain of attractionslow variationsubsamplingasymptotic exactnessstable distributionOLSEmartingale transformmartingale limit theoremtruncated momentAPT modelasymptotically locally unbiased testheteroskedasticity robust Wald testnon standard rate

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Cites Work

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