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Article: The global weighted lad estimators for finite/infinite variance arma(p,q) models

TitleThe global weighted lad estimators for finite/infinite variance arma(p,q) models
Authors
Issue Date2012
Citation
Econometric Theory, 2012, v. 28, n. 5, p. 1065-1086 How to Cite?
AbstractThis paper investigates the global self-weighted least absolute deviation (SLAD) estimator for finite and infinite variance ARMA(p, q) models. The strong consistency and asymptotic normality of the global SLAD estimator are obtained. A simulation study is carried out to assess the performance of the global SLAD estimators. In this paper the asymptotic theory of the global LAD estimator for finite and infinite variance ARMA(p, q) models is established in the literature for the first time. The technique developed in this paper is not standard and can be used for other time series models. © 2012 Cambridge University Press.
Persistent Identifierhttp://hdl.handle.net/10722/230909
ISSN
2015 Impact Factor: 1.162
2015 SCImago Journal Rankings: 2.219

 

DC FieldValueLanguage
dc.contributor.authorZhu, Ke-
dc.contributor.authorLing, Shiqing-
dc.date.accessioned2016-09-01T06:07:07Z-
dc.date.available2016-09-01T06:07:07Z-
dc.date.issued2012-
dc.identifier.citationEconometric Theory, 2012, v. 28, n. 5, p. 1065-1086-
dc.identifier.issn0266-4666-
dc.identifier.urihttp://hdl.handle.net/10722/230909-
dc.description.abstractThis paper investigates the global self-weighted least absolute deviation (SLAD) estimator for finite and infinite variance ARMA(p, q) models. The strong consistency and asymptotic normality of the global SLAD estimator are obtained. A simulation study is carried out to assess the performance of the global SLAD estimators. In this paper the asymptotic theory of the global LAD estimator for finite and infinite variance ARMA(p, q) models is established in the literature for the first time. The technique developed in this paper is not standard and can be used for other time series models. © 2012 Cambridge University Press.-
dc.languageeng-
dc.relation.ispartofEconometric Theory-
dc.titleThe global weighted lad estimators for finite/infinite variance arma(p,q) models-
dc.typeArticle-
dc.description.natureLink_to_subscribed_fulltext-
dc.identifier.doi10.1017/S0266466612000059-
dc.identifier.scopuseid_2-s2.0-84869447338-
dc.identifier.volume28-
dc.identifier.issue5-
dc.identifier.spage1065-
dc.identifier.epage1086-
dc.identifier.eissn1469-4360-

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