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Article: Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence

TitleEstimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
Authors
KeywordsAsymptotic distribution
Brownian motion
GARCH model
Least squares estimator
Maximum likelihood estimator
Unit root
Issue Date2003
PublisherTaylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/07474938.asp
Citation
Econometric Reviews, 2003, v. 22 n. 2, p. 179-202 How to Cite?
AbstractLeast squares (LS) and maximum likelihood (ML) estimation are considered for unit root processes with GARCH (1, 1) errors. The asymptotic distributions of LS and ML estimators are derived under the condition a + β < 1. The former has the usual unit root distribution and the latter is a functional of a bivariate Brownian motion, as in Ling and Li [Ling, S., Li, W. K. (1998). Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with GARCH errors. Ann. Statist. 26:84-125]. Several unit root tests based on LS estimators, ML estimators, and mixing LS and ML estimators, are constructed. Simulation results show that tests based on mixing LS and ML estimators perform better than Dickey-Fuller tests which are based on LS estimators, and that tests based on the ML estimators perform better than the mixed estimators.
Persistent Identifierhttp://hdl.handle.net/10722/82655
ISSN
2015 Impact Factor: 1.817
2015 SCImago Journal Rankings: 1.836
References

 

DC FieldValueLanguage
dc.contributor.authorLing, Sen_HK
dc.contributor.authorLi, WKen_HK
dc.contributor.authorMcAleer, Men_HK
dc.date.accessioned2010-09-06T08:31:53Z-
dc.date.available2010-09-06T08:31:53Z-
dc.date.issued2003en_HK
dc.identifier.citationEconometric Reviews, 2003, v. 22 n. 2, p. 179-202en_HK
dc.identifier.issn0747-4938en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82655-
dc.description.abstractLeast squares (LS) and maximum likelihood (ML) estimation are considered for unit root processes with GARCH (1, 1) errors. The asymptotic distributions of LS and ML estimators are derived under the condition a + β < 1. The former has the usual unit root distribution and the latter is a functional of a bivariate Brownian motion, as in Ling and Li [Ling, S., Li, W. K. (1998). Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with GARCH errors. Ann. Statist. 26:84-125]. Several unit root tests based on LS estimators, ML estimators, and mixing LS and ML estimators, are constructed. Simulation results show that tests based on mixing LS and ML estimators perform better than Dickey-Fuller tests which are based on LS estimators, and that tests based on the ML estimators perform better than the mixed estimators.en_HK
dc.languageengen_HK
dc.publisherTaylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/07474938.aspen_HK
dc.relation.ispartofEconometric Reviewsen_HK
dc.subjectAsymptotic distributionen_HK
dc.subjectBrownian motionen_HK
dc.subjectGARCH modelen_HK
dc.subjectLeast squares estimatoren_HK
dc.subjectMaximum likelihood estimatoren_HK
dc.subjectUnit rooten_HK
dc.titleEstimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidenceen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0747-4938&volume=22&issue=2&spage=179&epage=202&date=2003&atitle=Estimation+and+testing+for+unit+root+processes+with+GARCH+(1,+1)+errors:+Theory+and+monte+carlo+evidenceen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1081/ETC-120020462en_HK
dc.identifier.scopuseid_2-s2.0-1542498407en_HK
dc.identifier.hkuros84988en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-1542498407&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume22en_HK
dc.identifier.issue2en_HK
dc.identifier.spage179en_HK
dc.identifier.epage202en_HK
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridLing, S=7102701223en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK
dc.identifier.scopusauthoridMcAleer, M=24370074800en_HK

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