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Article: Least absolute deviation estimation for unit root processes with garch errors

TitleLeast absolute deviation estimation for unit root processes with garch errors
Authors
Issue Date2009
PublisherCambridge University Press. The Journal's web site is located at http://journals.cambridge.org/action/displayJournal?jid=ECT
Citation
Econometric Theory, 2009, v. 25 n. 5, p. 1208-1227 How to Cite?
AbstractThis paper considers a local least absolute deviation estimation for unit root processes with generalized autoregressive conditional heteroskedastic (GARCH) errors and derives its asymptotic properties under only finite second-order moment for both errors and innovations. When the innovations are symmetrically distributed, the asymptotic distribution of the estimated unit root is shown to be a functional of a bivariate Brownian motion, and then two unit root tests are derived. The simulation results demonstrate that the tests outperform those based on the Gaussian quasi maximum likelihood estimators with heavy-tailed innovations and those based on the simple least absolute deviation estimators. © 2009 Copyright Cambridge University Press 2009.
Persistent Identifierhttp://hdl.handle.net/10722/82944
ISSN
2015 Impact Factor: 1.162
2015 SCImago Journal Rankings: 2.219
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorLi, Gen_HK
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2010-09-06T08:35:10Z-
dc.date.available2010-09-06T08:35:10Z-
dc.date.issued2009en_HK
dc.identifier.citationEconometric Theory, 2009, v. 25 n. 5, p. 1208-1227en_HK
dc.identifier.issn0266-4666en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82944-
dc.description.abstractThis paper considers a local least absolute deviation estimation for unit root processes with generalized autoregressive conditional heteroskedastic (GARCH) errors and derives its asymptotic properties under only finite second-order moment for both errors and innovations. When the innovations are symmetrically distributed, the asymptotic distribution of the estimated unit root is shown to be a functional of a bivariate Brownian motion, and then two unit root tests are derived. The simulation results demonstrate that the tests outperform those based on the Gaussian quasi maximum likelihood estimators with heavy-tailed innovations and those based on the simple least absolute deviation estimators. © 2009 Copyright Cambridge University Press 2009.en_HK
dc.languageengen_HK
dc.publisherCambridge University Press. The Journal's web site is located at http://journals.cambridge.org/action/displayJournal?jid=ECTen_HK
dc.relation.ispartofEconometric Theoryen_HK
dc.rightsEconometric Theory. Copyright © Cambridge University Press.en_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.titleLeast absolute deviation estimation for unit root processes with garch errorsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0266-4666&volume=25&spage=1208–1227&epage=&date=2009&atitle=Least+Absolute+Deviation+Estimation+For+Unit+Root+Processes+With+Garch+Errorsen_HK
dc.identifier.emailLi, G: gdli@hku.hken_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, G=rp00738en_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturepublished_or_final_version-
dc.identifier.doi10.1017/S0266466608090488en_HK
dc.identifier.scopuseid_2-s2.0-74149092439en_HK
dc.identifier.hkuros164590en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-74149092439&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume25en_HK
dc.identifier.issue5en_HK
dc.identifier.spage1208en_HK
dc.identifier.epage1227en_HK
dc.identifier.eissn1469-4360-
dc.identifier.isiWOS:000269867600004-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridLi, G=52563850500en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK

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