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Article: Double AR model without intercept: An alternative to modeling nonstationarity and heteroscedasticity

TitleDouble AR model without intercept: An alternative to modeling nonstationarity and heteroscedasticity
Authors
KeywordsDAR model
DARWIN model
geometric Brownian motion
heteroscedasticity
Lyapunov exponent
Issue Date2019
PublisherTaylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/07474938.asp
Citation
Econometric Reviews, 2019, v. 38 n. 3, p. 319-331 How to Cite?
AbstractThis paper presents a double AR model without intercept (DARWIN model) and provides us a new way to study the nonstationary heteroscedastic time series. It is shown that the DARWIN model is always nonstationary and heteroscedastic, and its sample properties depend on the Lyapunov exponent. An easy-to-implement estimator is proposed for the Lyapunov exponent, and it is unbiased, strongly consistent, and asymptotically normal. Based on this estimator, a powerful test is constructed for testing the ordinary oscillation of the model. Moreover, this paper proposes the quasi-maximum likelihood estimator (QMLE) for the DARWIN model, which has an explicit form. The strong consistency and asymptotic normality of the QMLE are established regardless of the sign of the Lyapunov exponent. Simulation studies are conducted to assess the performance of the estimation and testing, and an empirical example is given for illustrating the usefulness of the DARWIN model.
Persistent Identifierhttp://hdl.handle.net/10722/279507
ISSN
2019 Impact Factor: 0.933
2015 SCImago Journal Rankings: 1.836

 

DC FieldValueLanguage
dc.contributor.authorLi, D-
dc.contributor.authorGuo, S-
dc.contributor.authorZhu, K-
dc.date.accessioned2019-11-01T07:18:41Z-
dc.date.available2019-11-01T07:18:41Z-
dc.date.issued2019-
dc.identifier.citationEconometric Reviews, 2019, v. 38 n. 3, p. 319-331-
dc.identifier.issn0747-4938-
dc.identifier.urihttp://hdl.handle.net/10722/279507-
dc.description.abstractThis paper presents a double AR model without intercept (DARWIN model) and provides us a new way to study the nonstationary heteroscedastic time series. It is shown that the DARWIN model is always nonstationary and heteroscedastic, and its sample properties depend on the Lyapunov exponent. An easy-to-implement estimator is proposed for the Lyapunov exponent, and it is unbiased, strongly consistent, and asymptotically normal. Based on this estimator, a powerful test is constructed for testing the ordinary oscillation of the model. Moreover, this paper proposes the quasi-maximum likelihood estimator (QMLE) for the DARWIN model, which has an explicit form. The strong consistency and asymptotic normality of the QMLE are established regardless of the sign of the Lyapunov exponent. Simulation studies are conducted to assess the performance of the estimation and testing, and an empirical example is given for illustrating the usefulness of the DARWIN model.-
dc.languageeng-
dc.publisherTaylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/07474938.asp-
dc.relation.ispartofEconometric Reviews-
dc.rightsAOM/Preprint Before Accepted: his article has been accepted for publication in [JOURNAL TITLE], published by Taylor & Francis. AOM/Preprint After Accepted: This is an [original manuscript / preprint] of an article published by Taylor & Francis in [JOURNAL TITLE] on [date of publication], available online: http://www.tandfonline.com/[Article DOI]. Accepted Manuscript (AM) i.e. Postprint This is an Accepted Manuscript of an article published by Taylor & Francis in [JOURNAL TITLE] on [date of publication], available online: http://www.tandfonline.com/[Article DOI].-
dc.subjectDAR model-
dc.subjectDARWIN model-
dc.subjectgeometric Brownian motion-
dc.subjectheteroscedasticity-
dc.subjectLyapunov exponent-
dc.titleDouble AR model without intercept: An alternative to modeling nonstationarity and heteroscedasticity-
dc.typeArticle-
dc.identifier.emailZhu, K: mazhuke@hku.hk-
dc.identifier.authorityZhu, K=rp02199-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1080/07474938.2017.1310080-
dc.identifier.scopuseid_2-s2.0-85020494186-
dc.identifier.hkuros308315-
dc.identifier.volume38-
dc.identifier.issue3-
dc.identifier.spage319-
dc.identifier.epage331-
dc.publisher.placeUnited States-

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