Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
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Publication:1807062
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- scientific article; zbMATH DE number 3256930 (Why is no real title available?)
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- ARCH modeling in finance. A review of the theory and empirical evidence
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- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
- Estimation for autoregressive processes with unit roots
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Highly symmetric expanders
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Maximum-Likelihood Estimation of Parameters Subject to Restraints
- Multiple Time Series Regression with Integrated Processes
- ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS
- RESULTS ON ESTIMATION AND TESTING FOR A UNIT ROOT IN THE NONSTATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODEL
- Testing for Unit Roots in Seasonal Time Series
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Cited in
(46)- Asymptotic theory for multivariate GARCH processes.
- Parameter estimation in nonlinear AR-GARCH models
- A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models
- Asymptotic laws of successive least squares estimates for seasonal arima models and application
- Estimation and asymptotic inference in the AR-ARCH model
- Bootstrap unit root tests in models with GARCH(1,1) errors
- Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors
- Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
- Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
- Regression quantiles for unstable autoregressive models
- Estimation and Testing Stationarity for Double-Autoregressive Models
- On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
- Asymptotic theory for a vector ARMA-GARCH model
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- A Note on Unit Root Tests and GARCH Errors: A Simulation Experiment
- LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
- Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
- Nearly nonstationary processes under infinite variance GARCH noises
- Marked empirical processes for non-stationary time series
- A note on the self-normalized Dickey-Fuller test for unit roots in autoregressive time series with GARCH errors
- Semi-nonparametric cointegration testing
- Test for parameter change in ARMA models with GARCH innovations
- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
- On adaptive estimation in nonstationary ARMA models with GARCH errors
- A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending
- On the choice of test for a unit root when the errors are conditionally heteroskedastic
- The asymptotic convexity of the negative likelihood function of GARCH models
- Testing for reduction to random walk in autoregressive conditional heteroskedasticity models
- Adaptive Testing for Cointegration With Nonstationary Volatility
- Wavelet improvement of the over-rejection of unit root test under GARCH errors: an application to Swedish immigration data
- Asymptotic inference for unit root processes with GARCH(1,1) errors
- NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES
- Unit root testing in the presence of heavy-tailed GARCH errors
- Residual empirical processes for nearly unstable long-memory time series
- Residual empirical processes for long and short memory time series
- EMPIRICAL LIKELIHOOD FOR GARCH MODELS
- Delay times of sequential procedures for multiple time series regression models
- A note on unit root tests with heavy-tailed GARCH errors
- Bootstrap-based unit root tests for higher order autoregressive models with GARCH(1, 1) errors
- Testing for a unit root under errors with just barely infinite variance
- Rank test of unit‐root hypothesis with AR‐GARCH errors
- A frequentist approach to Bayesian asymptotics
- Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density
- A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity
- Joint modeling of cointegration and conditional heteroscedasticity with applications
- On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing
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