Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2017
conditional and unconditional heteroskedasticity of unknown form. Although the standard conditional sum-of-squares (CSS) estimator … remains consistent and asymptotically normal in such cases, unconditional heteroskedasticity inflates its variance matrix by a … conditional heteroskedasticity and/or weak parametric autocorrelation present in the shocks. Consequently, asymptotically pivotal …
