Chandler, Gabriel - In: Statistics & Probability Letters 80 (2010) 23-24, pp. 1904-1910
We consider an autoregressive model where the variance is allowed to be a function of time, unconditional on the past. Pötscher (1989) has proven that, regardless of the shape of the variance function, order selection can be made consistently. However, this procedure does not account for the...