Inference in Autoregression under Heteroskedasticity

Abstract.  A scalar pth‐order autoregression (AR(p)) is considered with heteroskedasticity of the unknown form delivered by a transition function of time. A limit theory is developed and three heteroskedasticity‐robust test statistics are proposed for inference, one of which is based on the nonparametric estimation of the variance function. The performance of the resulting testing procedures in finite samples is compared in simulations and some suggestions for practical application are given.