Weighted least squares-based inference for stable and unstable threshold power ARCH processes

Abdelhakim Aknouche and Nassim Touche

Statistics & Probability Letters, 2015, vol. 97, issue C, 108-115

Abstract: We establish consistency and asymptotic normality for a weighted least squares estimate (2SWLSE) of a threshold power ARCH process in both stationary and nonstationary environments. For models with heavy tail innovations, the 2SWLSE is more efficient than the quasi-maximum likelihood estimate.

Keywords: Threshold power ARCH; Two-stage weighted least squares; Consistency and asymptotic normality; Strict stationarity testing; Heavy tailed distribution (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.spl.2014.11.011

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