Interaction Between Autocorrelation and Conditional Heteroscedasticity: A Random-Coefficient Approach
自相关与条件异方差的相互作用：随机系数方法
In applied econometrics, the authors tend to tackle specification problems one at a time rather than considering them jointly. This has serious consequences for statistical inference. One example of this is considering autocorrelation and autoregressive conditional heteroscedasticity separately. In this article, the authors consider a linear regression model with random coefficient autoregressive disturbances that provides a convenient framework to analyze autocorrelation…