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Asymptotic Inference For Unit Root Processes With Garch(1,1) Errors

  • Ling, Shiqing
  • Li, W.K.

This 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.The authors thank the co-editor, Bruce Hansen, and two referees for very helpful comments and suggestions. W.K. Li s research is partially supported by the Hong Kong Research Grants Council. Ling s research is supported by RGC Competitive Earmarked Research grant HKUST6113 02P.

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Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 19 (2003)
Issue (Month): 04 (August)
Pages: 541-564

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Handle: RePEc:cup:etheor:v:19:y:2003:i:04:p:541-564_19
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