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A simple unfinished calculation

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xt = α + βrt + ut , (1)

ut = σt zt , (2)

σt2 =c+ au2t−1 + 2

bσt−1 + γrt , (3)

rt = φ + ρrt−1 + ςvt , (4)

1 Asymptotic properties of β̂

First we consider that

PT PT

1/2 1/2 t=1 xt (rt − r̄t ) T −1/2 t=1 ut (rt − r̄t )

T (β̂ − β) = T ( PT − β) = PT . (5)

2 −1 − r̄t )2

t=1 (rt − r̄t ) T t=1 (rt

Its denominator in matrix form reads

where I is the unit matrix and 1 is the vector of ones. Similarly, (4) can be written as

where J is the upper shift matirx. Plugging (7) into (6) leads to

Denote that

T

X

T −1 λ2i (φwiT 1 + ςwiT v)2 . (10)

t=1

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