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How to solve the ARCH effect problem in estimating linear bivariate regression model?

Estimate a GARCH model where the conditional mean equation corresponds to your bivariate regression. This way you will estimate the regression coefficients efficiently and will have appropriate ...
Richard Hardy's user avatar
1 vote

How can I find the limiting distribution of $Z_n=\sqrt{n}\frac{X_1X_2+X_3X_4+\cdots+X_{2n-1}X_{2n}}{X_1^2+\cdots+X_{2n}^2}$?

Let $X_1, X_2, \cdots$ be i.i.d. random variables with $E(X_i) = 0$, $\text{Var}(X_i) = 1$, and $E(X_i^4) < \infty$. We are tasked with finding the limiting distribution of $$ Z_n = \sqrt{n} \frac{...
Robert Long's user avatar
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