Mukherjee, Kanchan (2007) Generalized R-estimators under Conditional heteroscedasticity. Journal of Econometrics, 141 (2). pp. 383-415. ISSN 0304-4076
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.
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