File Download
  Links for fulltext
     (May Require Subscription)
Supplementary

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

TitleAsymptotic inference for unit root processes with GARCH(1,1) errors
Authors
Ling, SLi, WK
KeywordsBusiness and economics
Economic systems and theories, economic history
Issue Date2003
PublisherCambridge University Press. The Journal's web site is located at http://journals.cambridge.org/action/displayJournal?jid=ECT
Citation
Econometric Theory, 2003, v. 19 n. 4, p. 541-564 How to Cite?
DOI: http://dx.doi.org/10.1017/S0266466603194029
AbstractThis paper investigates the so-called one-step local quasi-maximum likelihood estimator for the unit root process with GARCH(1,1) errors. When the scaled conditional errors (the ratio of the disturbance to the conditional standard deviation) follow a symmetric distribution, the asymptotic distribution of the estimated unit root is derived only under the second-order moment condition. It is shown that this distribution is a functional of a bivariate Brownian motion as in Ling and Li (1998, Annals of Statistics 26, 84-125) and can be used to construct the unit root test.
Persistent Identifierhttp://hdl.handle.net/10722/42255
ISSN
0266-4666
2023 Impact Factor: 1.0
2023 SCImago Journal Rankings: 1.393
ISI Accession Number ID
WOS:000184312300002
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorLing, Sen_HK
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2007-01-08T02:32:43Z-
dc.date.available2007-01-08T02:32:43Z-
dc.date.issued2003en_HK
dc.identifier.citationEconometric Theory, 2003, v. 19 n. 4, p. 541-564en_HK
dc.identifier.issn0266-4666en_HK
dc.identifier.urihttp://hdl.handle.net/10722/42255-
dc.description.abstractThis paper investigates the so-called one-step local quasi-maximum likelihood estimator for the unit root process with GARCH(1,1) errors. When the scaled conditional errors (the ratio of the disturbance to the conditional standard deviation) follow a symmetric distribution, the asymptotic distribution of the estimated unit root is derived only under the second-order moment condition. It is shown that this distribution is a functional of a bivariate Brownian motion as in Ling and Li (1998, Annals of Statistics 26, 84-125) and can be used to construct the unit root test.en_HK
dc.format.extent179271 bytes-
dc.format.extent104842 bytes-
dc.format.mimetypeapplication/pdf-
dc.format.mimetypeapplication/pdf-
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.subjectBusiness and economicsen_HK
dc.subjectEconomic systems and theories, economic historyen_HK
dc.titleAsymptotic inference for unit root processes with GARCH(1,1) errorsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0266-4666&volume=19&issue=4&spage=541&epage=564&date=2003&atitle=Asymptotic+inference+for+unit+root+processes+with+GARCH+(1,+1)+errorsen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturepublished_or_final_versionen_HK
dc.identifier.doi10.1017/S0266466603194029en_HK
dc.identifier.scopuseid_2-s2.0-0042532117en_HK
dc.identifier.hkuros84991-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0042532117&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume19en_HK
dc.identifier.issue4en_HK
dc.identifier.spage541en_HK
dc.identifier.epage564en_HK
dc.identifier.isiWOS:000184312300002-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridLing, S=7102701223en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK
dc.identifier.issnl0266-4666-

Export via OAI-PMH Interface in XML Formats

OR

Export to Other Non-XML Formats