A general asymptotic theory for time‐series models

Shiqing Ling () and Michael McAleer

Statistica Neerlandica, 2010, vol. 64, issue 1, 97-111

Abstract: This paper develops a general asymptotic theory for the estimation of strictly stationary and ergodic time–series models. Under simple conditions that are straightforward to check, we establish the strong consistency, the rate of strong convergence and the asymptotic normality of a general class of estimators that includes LSE, MLE and some M‐type estimators. As an application, we verify the assumptions for the long‐memory fractional ARIMA model. Other examples include the GARCH(1,1) model, random coefficient AR(1) model and the threshold MA(1) model.

Date: 2010
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Citations: View citations in EconPapers (11)

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https://doi.org/10.1111/j.1467-9574.2009.00447.x

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Working Paper: A General Asymptotic Theory for Time Series Models (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:stanee:v:64:y:2010:i:1:p:97-111

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