Non-standard inference for augmented double autoregressive models with null volatility coefficients

DOI10.1016/j.jeconom.2019.08.009zbMath1456.62198arXiv1905.01798OpenAlexW2975814224WikidataQ127202510 ScholiaQ127202510MaRDI QIDQ2295807

Ke Zhu, Dong Li, Feiyu Jiang

Publication date: 17 February 2020

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

Full work available at URL: https://arxiv.org/abs/1905.01798

zbMATH Keywords

heavy-tailednessportmanteau testnon-standard asymptoticsparameter on the boundaryDAR modelaugmented DAR modelself-weighted QMLE

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)

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