## General Parametric Heteroscedastidty

In this subsection we shall assume a] = gfa, fix) without specifying g, where fix is a subset (possibly whole) of the regression parameters fi and a is another vector of parameters unrelated to ft. In applications it is often assumed that glot, fii) == g(ot, The estimation of a and ft can be done in several steps.

In the first step, we obtain the LS estimator of fi, denoted ft. In the second step, a and can be estimated by minimizing — gfa, fii)]2, where fi, =

y, — x’,fi. The consistency and the asymptotic normality of the resulting estimators, denoted a and Д, have been proved by Jobson and^Fuller (1980). In the third step we have two main options: FGLS using gfa, fix) or MLE under normality using a and fi as the initial estimates in some iterative algorithm...

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