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Nikolaos Kourogenis
 
''Polynomial Trends, Nonstationary Volatility and the Eicker-White Asymptotic Variance Estimator''
( 2015, Vol. 35 No.3 )
 
 
The problem of inference in autoregressions around polynomial trends, under nonstationary, possibly explosive, volatility is investigated. It is shown that the well-known t-statistics that incorporate the Eicker-White covariance matrix estimator are asymptotically standard normal. Simulation results show that the application of a residual-based recursive-design wild bootstrap reduces significantly the size distortions in small samples.
 
 
Keywords: Autoregression, Polynomial trend, Nonstationary volatility, Eicker-White covariance matrix estimator, Wild bootstrap
JEL: C2 - Single Equation Models; Single Variables: General
C1 - Econometric and Statistical Methods: General
 
Manuscript Received : Jun 01 2015 Manuscript Accepted : Jul 24 2015

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