Strict stationarity testing and GLAD estimation of double autoregressive models

DOI10.1016/J.JECONOM.2019.01.012zbMATH Open1452.62641arXiv1902.03773OpenAlexW2962853992WikidataQ128256282 ScholiaQ128256282MaRDI QIDQ2000866FDOQ2000866

Dong Li, Shao-Jun Guo, Muyi Li

Publication date: 1 July 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Abstract: In this article we develop a tractable procedure for testing strict stationarity in a double autoregressive model and formulate the problem as testing if the top Lyapunov exponent is negative. Without strict stationarity assumption, we construct a consistent estimator of the associated top Lyapunov exponent and employ a random weighting approach for its variance estimation, which in turn are used in a t-type test. We also propose a GLAD estimation for parameters of interest, relaxing key assumptions on the commonly used QMLE. All estimators, except for the intercept, are shown to be consistent and asymptotically normal in both stationary and explosive situations. The finite-sample performance of the proposed procedures is evaluated via Monte Carlo simulation studies and a real dataset of interest rates is analyzed.

Full work available at URL: https://arxiv.org/abs/1902.03773

zbMATH Keywords

nonstationarityrandom weightingDAR modelGLAD estimationstrict stationarity testing

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited In (8)

• Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
• Estimation and Testing Stationarity for Double-Autoregressive Models
• On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models
• Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors
• Testing the equality of the laws of two strictly stationary processes
• Monitoring procedures for strict stationarity based on the multivariate characteristic function
• Testing for strict stationarity via the discrete Fourier transform
• Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models

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