Oracally efficient estimation and testing for an ARCH model with trend

DOI10.1080/03610926.2019.1702696MaRDI QIDQ5078550zbMATH OpenOpenAlexFDO

Authors Huan Gong

Publication date 23 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2019.1702696

zbMATH Keywords

ARCH modelB-splineLagrange multiplier testleast squares estimationoracle property

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(3)

• Estimation and strict stationarity testing of ARCH processes based on weighted least squares
• Asymptotic efficiency of conditional least squares estimators for ARCH models
• M-estimation and linear hypothesis testing in the ARCH model

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