Robust inference in conditionally heteroskedastic autoregressions

Keyphrases

• Heteroscedastic 100%
• Autoregression 100%
• Robust Inference 100%
• T-statistic 66%
• Least Squares Estimator 66%
• Convergence Rate 66%
• Statistical Methods 66%
• Limiting Distribution 66%
• Generalized Autoregressive Conditional Heteroscedasticity (GARCH) 66%
• Parameter Dependence 33%
• Tail Index 33%
• Simulation Experiment 33%
• Finite Sample Properties 33%
• Business Economics 33%
• Infinite Variance 33%
• T-test 33%
• Economic Statistics 33%
• Autoregressive Model 33%
• Number of Groups 33%

Mathematics

• Original Sample 50%
• Least-Squares Estimate 50%