HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS

DOI10.1017/S0266466607070454zbMath1274.62595OpenAlexW2108159784MaRDI QIDQ2886979

Emma M. Iglesias, Oliver B. 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)

Related Items (7)

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 ⋮ NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH 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

Cites Work

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• Asymptotic theory for multivariate GARCH processes.
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• 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
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• Estimation When a Parameter is on a Boundary
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• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• Approximations to Finite Sample Moments of Estimators Whose Exact Sampling Distributions are Unknown

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