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Estimation and testing stationarity for double-autoregressive models

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Author Info
Shiqing Ling
Abstract

The paper considers the double-autoregressive model "y""t" = "φ""y""t" - 1+"ϵ""t" with "ϵ""t" =. Consistency and asymptotic normality of the estimated parameters are proved under the condition "E" ln |"φ" +√"&agr;""η""t"|>0, which includes the cases with |"φ"|=1 or |"φ"|>1 as well as . It is well known that all kinds of estimators of "φ" in these cases are not normal when "ϵ""t" are independent and identically distributed. Our result is novel and surprising. Two tests are proposed for testing stationarity of the model and their asymptotic distributions are shown to be a function of bivariate Brownian motions. Critical values of the tests are tabulated and some simulation results are reported. An application to the US 90-day treasury bill rate series is given. Copyright 2004 Royal Statistical Society.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9868.2004.00432.x
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Article provided by Royal Statistical Society in its journal Journal of the Royal Statistical Society Series B.

Volume (Year): 66 (2004)
Issue (Month): 1 ()
Pages: 63-78
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Handle: RePEc:bla:jorssb:v:66:y:2004:i:1:p:63-78

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  1. Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias, 2008. "Semiparametric Inference in a GARCH-in-Mean Model," CREATES Research Papers 2008-46, School of Economics and Management, University of Aarhus. [Downloadable!]
  2. Christian M. Dahl & Emma M. Iglesias, 2008. "The limiting properties of the QMLE in a general class of asymmetric volatility models," CREATES Research Papers 2008-38, School of Economics and Management, University of Aarhus. [Downloadable!]
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