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 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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"Multiple Time Series Regression with Integrated Processes,"
Cowles Foundation Discussion Papers
768, Cowles Foundation for Research in Economics, Yale University.
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