Asymptotic inference for unit root processes with GARCH(1,1) errors
DOI10.1017/S0266466603194029zbMATH Open1441.62798MaRDI QIDQ4561968FDOQ4561968
Authors: Shiqing Ling, Wai Keung Li 
Publication date: 14 December 2018
Published in: Econometric Theory (Search for Journal in Brave)
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Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Functional limit theorems; invariance principles (60F17)
Cites Work
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- Multiple Time Series Regression with Integrated Processes
- Limiting distributions of least squares estimates of unstable autoregressive processes
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- Time Series Regression with a Unit Root
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Weak limit theorems for stochastic integrals and stochastic differential equations
- Distribution theory for unit root tests with conditional heteroskedasticity
- On adaptive estimation in nonstationary ARMA models with GARCH errors
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
- Handbook of econometrics. Vol. 4
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- The sample ACF of a simple bilinear process
Cited In (16)
- Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
- LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
- A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
- Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
- A unified unit root test regardless of intercept
- Nearly nonstationary processes under infinite variance GARCH noises
- A unit root test for an AR(1) process with AR errors by using random weighted bootstrap
- On the choice of test for a unit root when the errors are conditionally heteroskedastic
- Adaptive Testing for Cointegration With Nonstationary Volatility
- A note on unit root tests with heavy-tailed GARCH errors
- Bootstrap-based unit root tests for higher order autoregressive models with GARCH(1, 1) errors
- Rank test of unit‐root hypothesis with AR‐GARCH errors
- On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing
- Title not available (Why is that?)
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