scientific article; zbMATH DE number 4043108
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Publication:3780320
zbMATH Open0639.62084MaRDI QIDQ3780320FDOQ3780320
Authors: Sastry G. Pantula 
Publication date: 1988
Title of this publication is not available (Why is that?)
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asymptotic normalityconsistencyergodic propertiesmaximum likelihood estimatorsleast squares estimatorseries representationestimated generalized least squares estimatorfirst order ARCH errorsinvariance of Dickey and Fuller test for nonstationarityp-th order autoregressive process
Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cited In (45)
- Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity
- Extremal behavior of the autoregressive process with ARCH(1) errors
- Estimation and inference of the vector autoregressive process under heteroscedasticity
- Adaption of two-stage estimation procedure for mean parameters of linear regression models with ARCH errors
- Asymptotics for partly linear regression with dependent samples and ARCH errors: Consistency with rates
- Concurrent processing of heteroskedastic vector-valued mixture density models
- Selecting the order of an ARCH model
- Asymptotic theory for a vector ARMA-GARCH model
- The ARCH(2) model: pseudo-maximum estimation and asymptotic results under dependent innovations
- Two-stage RLS algorithm for estimating ARCH models
- Generalized R-estimators under conditional heteroscedasticity
- ARMA MODELS WITH ARCH ERRORS
- Title not available (Why is that?)
- A note on the self-normalized Dickey-Fuller test for unit roots in autoregressive time series with GARCH errors
- An investigation of a generalized least squares estimator for non-linear time series model
- Normalized least-squares estimation in time-varying ARCH models
- I got more data, my model is more refined, but my estimator is getting worse! Am I just dumb?
- Generalized least squares estimation for explosive AR(1) processes with conditionally heteroscedastic errors
- A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending
- Estimation and strict stationarity testing of ARCH processes based on weighted least squares
- Title not available (Why is that?)
- Coefficient constancy test in AR-ARCH models
- On the choice of test for a unit root when the errors are conditionally heteroskedastic
- Empirical likelihood for AR-ARCH models based on LAD estimation
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- Inconsistency of the MLE and inference based on weighted LS for LARCH models
- \(L_{p}\)-estimators in ARCH models
- Diagnostic checks in time series models based on a new correlation coefficient of residuals
- Unit root testing in the presence of heavy-tailed GARCH errors
- LEAST SQUARES AND IVX LIMIT THEORY IN SYSTEMS OF PREDICTIVE REGRESSIONS WITH GARCH INNOVATIONS
- A note on unit root tests with heavy-tailed GARCH errors
- Least squares estimation of ARCH models with missing observations
- A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model
- Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity
- Title not available (Why is that?)
- Estimating the generalized autoregression model parameters for unknown noise distribution
- Estimation and testing for the parameters of \(\operatorname{AR}(p)\)-\(\operatorname {ARCH}(q)\) under ordered restriction
- Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases
- The spurious effect of ARCH errors on linearity tests: a theoretical note and an alternative maximum likelihood approach
- Robust estimates for arch processes
- Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues
- ARCH modeling in finance. A review of the theory and empirical evidence
- Statistical estimation errors of VaR under ARCH returns
- Asymptotic inference of unstable periodic ARCH processes
- Estimation and inference in unstable nonlinear least squares models
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