For testing error variance unstability, a test based on CUSUM squares of the residuals in HAR (Heteroscedastic AutoRegressive) models are constructed and its limiting null distribution is derived to be a simple function of the standard Brownian bridge. A finite sample Monte-Carlo experiment...

General M-estimation is developed for regression models with integrated regressors and autoregressive moving average (ARMA) errors, in which the ARMA parameters are jointly estimated with the regression parameters. The large sample distribution of the M-estimator is derived. Allowing the...