Asymptotic inference for unit root processes with GARCH(1,1) errors

DOI10.1017/S0266466603194029MaRDI QIDQ4561968zbMATH OpenFDO

Authors Shiqing Ling, Wai Keung Li

Publication date 14 December 2018

Published in Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

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)

Recommendations

• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
• LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
• Unit root testing in the presence of heavy-tailed GARCH errors
• A note on unit root tests with heavy-tailed GARCH errors
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

Cites work

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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
• Distribution theory for unit root tests with conditional heteroskedasticity
• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
• Generalized autoregressive conditional heteroscedasticity
• Handbook of econometrics. Vol. 4
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
• Multiple Time Series Regression with Integrated Processes
• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• On adaptive estimation in nonstationary ARMA models with GARCH errors
• The sample ACF of a simple bilinear process
• Time Series Regression with a Unit Root
• Weak limit theorems for stochastic integrals and stochastic differential equations

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.
• A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
• LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
• Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
• Nearly nonstationary processes under infinite variance GARCH noises
• A unified unit root test regardless of intercept
• 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
• scientific article; zbMATH DE number 5816769 (Why is no real title available?)

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