Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors

DOI10.1214/AOS/1030563979zbMATH Open0932.62103OpenAlexW1988552646MaRDI QIDQ1807062FDOQ1807062

Authors: Shiqing Ling, Wai Keung Li 

Publication date: 9 November 1999

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1030563979

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zbMATH Keywords

GARCH modelsmaximum likelihood estimatorlimiting distributionstochastic integralbivariate Brownian motionunstable ARMA models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Functional limit theorems; invariance principles (60F17)

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Cited In (46)

• Asymptotic theory for multivariate GARCH processes.
• Parameter estimation in nonlinear AR-GARCH 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
• Estimation and Testing Stationarity for Double-Autoregressive Models
• On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
• Regression quantiles for unstable autoregressive models
• Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
• 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
• A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending
• On adaptive estimation in nonstationary ARMA models with GARCH errors
• 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
• Asymptotic inference for unit root processes with GARCH(1,1) errors
• Wavelet improvement of the over-rejection of unit root test under GARCH errors: an application to Swedish immigration data
• 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
• EMPIRICAL LIKELIHOOD FOR GARCH MODELS
• Residual empirical processes for long and short memory time series
• A note on unit root tests with heavy-tailed GARCH errors
• Delay times of sequential procedures for multiple time series regression models
• 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
• On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing
• A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity
• Joint modeling of cointegration and conditional heteroscedasticity with applications
• A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models

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