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Generalized R-estimators under Conditional heteroscedasticity.

Research output: Contribution to journalJournal article

Published

Journal publication date12/2007
JournalJournal of Econometrics
Journal number2
Volume141
Number of pages33
Pages383-415
Original languageEnglish

Abstract

In this paper, we extend the classical idea of Rank estimation of parameters from homoscedastic problems to heteroscedastic problems. In particular, we define a class of rank estimators of the parameters associated with the conditional mean function of an autoregressive model through a three-steps procedure and then derive their asymptotic distributions. The class of models considered includes Engel's ARCH model and the threshold heteroscedastic model. The class of estimators includes an extension of Wilcoxon-type rank estimator. The derivation of the asymptotic distributions depends on the uniform approximation of a randomly weighted empirical process by a perturbed empirical process through a very general weight-dependent partitioning argument.

Bibliographic note

The final, definitive version of this article has been published in the Journal, Journal of Econometrics 141 (2), 2007, © ELSEVIER.