Estimation and inference of the vector autoregressive process under heteroscedasticity

Bodnar, T.; Zabolotskyy, T.

doi:10.1090/S0094-9000-2012-00839-9

Estimation and inference of the vector autoregressive process under heteroscedasticity

Authors: T. Bodnar and T. Zabolotskyy
Journal: Theor. Probability and Math. Statist. 83 (2011), 27-45
MSC (2010): Primary 62H12, 62M15; Secondary 62H10
DOI: https://doi.org/10.1090/S0094-9000-2012-00839-9
Published electronically: February 2, 2012
MathSciNet review: 2768846
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Abstract | References | Similar Articles | Additional Information

Abstract: In this paper we derive the asymptotic distribution of the estimator for the parameters of the vector autoregressive process of order $p$ with an unconditionally heteroscedastic error process. The covariance matrix of the error process is modeled as a deterministic matrix function and it is estimated nonparametrically at each time point. This estimator is used for deriving inference procedures for the parameters of the vector autoregressive process.

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