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Estimation for nearly unit root processes with GARCH errors

Estimation for nearly unit root processes with GARCH errors In this paper the limiting distribution of the least square estimate for the autoregressive coefficient of a nearly unit root model with GARCH errors is derived. Since the limiting distribution depends on the unknown variance of the errors, an empirical likelihood ratio statistic is proposed from which confidence intervals can be constructed for the nearly unit root model without knowing the variance. To gain an intuitive sense for the empirical likelihood ratio, a small simulation for the asymptotic distribution is given. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics-A Journal of Chinese Universities Springer Journals

Estimation for nearly unit root processes with GARCH errors

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Publisher
Springer Journals
Copyright
Copyright © 2010 by Editorial Committee of Applied Mathematics-A Journal of Chinese Universities and Springer-Verlag Berlin Heidelberg
Subject
Mathematics; Applications of Mathematics; Mathematics, general
ISSN
1005-1031
eISSN
1993-0445
DOI
10.1007/s11766-010-2397-4
Publisher site
See Article on Publisher Site

Abstract

In this paper the limiting distribution of the least square estimate for the autoregressive coefficient of a nearly unit root model with GARCH errors is derived. Since the limiting distribution depends on the unknown variance of the errors, an empirical likelihood ratio statistic is proposed from which confidence intervals can be constructed for the nearly unit root model without knowing the variance. To gain an intuitive sense for the empirical likelihood ratio, a small simulation for the asymptotic distribution is given.

Journal

Applied Mathematics-A Journal of Chinese Universities – Springer Journals

Published: Aug 25, 2010

References

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    Ling, S.; Li, W. K.
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    Ling, S.; Li, W. K.; McAleer, M.
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    Nelson, D. B.
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