Higher order asymptotic theory when a parameter is on a boundary with an application to GARCH models
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Publication:2886979
DOI10.1017/S0266466607070454zbMATH Open1274.62595OpenAlexW2108159784MaRDI QIDQ2886979FDOQ2886979
Authors: Emma M. Iglesias, Oliver Linton 
Publication date: 14 May 2012
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466607070454
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Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Asymptotic theory for multivariate GARCH processes.
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Inconsistency of the Bootstrap when a Parameter is on the Boundary of the Parameter Space
- Estimation When a Parameter is on a Boundary
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
- Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
- Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
- Econometric Estimators and the Edgeworth Approximation
- Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
- A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators
- Estimation in a simple random effects model with nonnormal distributions
- The Validity of Nagar's Expansion for the Moments of Econometric Estimators
- Approximations to Finite Sample Moments of Estimators Whose Exact Sampling Distributions are Unknown
Cited In (7)
- Non-standard inference for augmented double autoregressive models with null volatility coefficients
- Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model
- Edgeworth and moment approximations: the case of MM and QML estimators for the MA(1) models
- Estimation, testing, and finite sample properties of quasi-maximum likelihood estimators in GARCH-M models
- Nonparametric inference for counterfactual means: bias-correction, confidence sets, and weak IV
- Valid locally uniform Edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations
- Negative volatility spillovers in the unrestricted ECCC-GARCH model
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