Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
AbstractLeast squares (LS) and maximum likelihood (ML) estimation are con-sidered for unit root processes with GARCH (1, 1) errors. The asymp-totic distributions of LS and ML estimators are derived under the con-dition ƒ¿ + ƒÀ
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Length: 30 pages
Date of creation: Mar 2003
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Other versions of this item:
- Shiqing Ling & W. K. Li & Michael McAleer, 2003. "Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence," Econometric Reviews, Taylor & Francis Journals, vol. 22(2), pages 179-202.
- Shiqing Ling & W. K. Li & Michael McAleer, 2001. "Estimation and Testing for Unit Root Processes with GARCH(1,1) Errors: Theory and Monte Carlo Evidence," ISER Discussion Paper 0544, Institute of Social and Economic Research, Osaka University.
- NEP-ALL-2003-03-25 (All new papers)
- NEP-CMP-2003-03-25 (Computational Economics)
- NEP-ECM-2003-03-25 (Econometrics)
- NEP-ETS-2003-03-25 (Econometric Time Series)
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