Bibliographic record
Abstract
This paper studies robust inference in autoregression around a polynomial trend with stable autoregressive roots under non‐stationary volatility. The formulation of the volatility process is quite general including many existing deterministic and stochastic non‐stationary volatility specifications. The aim of the paper is two‐fold. First, it develops a limit theory for least squares estimators and shows how non‐stationary volatility affects the consistency, convergence rates and asymptotic distributions of the slope and trend coefficients estimators in different ways. This complements the results recently obtained by Chung and Park (2007, Journal of Econometrics 137, 230–59. Second, it studies the recursive wild bootstrap procedure of Gonçalves and Kilian (2004, Journal of Econometrics 123, 89–120) in the presence of non‐stationary volatility, and shows its validity when the estimates are asymptotically mixed Gaussian. Simulations are performed to compare favourably the recursive wild bootstrap with other inference procedures under non‐stationary volatility.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.013 | 0.073 |
| Meta-epidemiology (narrow) | 0.001 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.001 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.002 |
| Scholarly communication | 0.001 | 0.002 |
| Open science | 0.002 | 0.001 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.001 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".