Generalized least squares estimation for explosive AR(1) processes with conditionally heteroscedastic errors

DOI10.1016/J.SPL.2007.02.010zbMATH Open1128.62100OpenAlexW2086885461MaRDI QIDQ2467376FDOQ2467376

Yanyan Li

Publication date: 21 January 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.02.010

zbMATH Keywords

martingalesgeneralized least squaresARCH errors

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)

Cites Work

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ARCH models and financial applications
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• A Class of Nonlinear Arch Models
• Asymptotic conditional inference for regular nonergodic models with an application to autoregressive processes
• Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
• The foundations of finite sample estimation in stochastic processes

Cited In (7)

• Explosive strong periodic autoregression with multiplicity one
• On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process
• Some characterizations of non-ergodic estimating functions for stochastic processes
• Tests based on simplicial depth for AR(1) models with explosion
• Non-ergodic martingale estimating functions and related asymptotics
• Explosive \(\mathrm{AR}(1)\) process with independent but not identically distributed errors
• Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity

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