Higher order asymptotic theory when a parameter is on a boundary with an application to GARCH models

DOI10.1017/S0266466607070454MaRDI QIDQ2886979zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators
• Approximations to Finite Sample Moments of Estimators Whose Exact Sampling Distributions are Unknown
• 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
• Asymptotic theory for multivariate GARCH processes.
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Econometric Estimators and the Edgeworth Approximation
• Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
• Estimation When a Parameter is on a Boundary
• Estimation in a simple random effects model with nonnormal distributions
• Generalized autoregressive conditional heteroscedasticity
• Inconsistency of the Bootstrap when a Parameter is on the Boundary of the Parameter Space
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• The Validity of Nagar's Expansion for the Moments of Econometric Estimators

Cited in

(7)

• Negative volatility spillovers in the unrestricted ECCC-GARCH model
• Estimation, testing, and finite sample properties of quasi-maximum likelihood estimators in GARCH-M models
• Valid locally uniform Edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations
• Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model
• Nonparametric inference for counterfactual means: bias-correction, confidence sets, and weak IV
• Non-standard inference for augmented double autoregressive models with null volatility coefficients
• Edgeworth and moment approximations: the case of MM and QML estimators for the MA(1) models

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