Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
Least squares (LS) and maximum likelihood (ML) estimation are considered for unit root processes with GARCH (1, 1) errors. The asymptotic distributions of LS and ML estimators are derived under the condition α + β < 1. The former has the usual unit root distribution and the latter is a functional of a bivariate Brownian motion, as in Ling and Li [Ling, S., Li, W. K. (1998). Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with GARCH errors. Ann. Statist.26:84-125]. Several unit root tests based on LS estimators, ML estimators, and mixing LS and ML estimators, are constructed. Simulation results show that tests based on mixing LS and ML estimators perform better than Dickey-Fuller tests which are based on LS estimators, and that tests based on the ML estimators perform better than the mixed estimators.
Volume (Year): 22 (2003)
Issue (Month): 2 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/LECR20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/LECR20|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Peter C.B. Phillips & Steven N. Durlauf, 1985.
"Multiple Time Series Regression with Integrated Processes,"
Cowles Foundation Discussion Papers
768, Cowles Foundation for Research in Economics, Yale University.
- P. C. B. Phillips & S. N. Durlauf, 1986. "Multiple Time Series Regression with Integrated Processes," Review of Economic Studies, Oxford University Press, vol. 53(4), pages 473-495.
- Weiss, Andrew A., 1986. "Asymptotic Theory for ARCH Models: Estimation and Testing," Econometric Theory, Cambridge University Press, vol. 2(01), pages 107-131, April.
- Seo, Byeongseon, 1999. "Distribution theory for unit root tests with conditional heteroskedasticity1," Journal of Econometrics, Elsevier, vol. 91(1), pages 113-144, July.
- W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
When requesting a correction, please mention this item's handle: RePEc:taf:emetrv:v:22:y:2003:i:2:p:179-202. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.