Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors

Ngai Hang Chan and Liang Peng

Biometrika, 2005, vol. 92, issue 2, 477-484

Abstract: The weighted least absolute deviations estimator is studied for an AR(1) process with ARCH(1) errors ϵ-sub-t. Unlike for the quasi maximum likelihood estimator, the estimator's, limiting distribution is shown to be normal even when E(ϵ-sub-t-super-4) = ∞. Furthermore, the estimator can be applied to examine the symmetry of the density of ϵ-sub-t and to estimate the quantity E(log |α + λ-super-½ ϵ-sub-t|), which are of crucial importance for conducting asymptotic inference for quasi maximum likelihood estimators and weighted least absolute deviations estimators. Copyright 2005, Oxford University Press.

Date: 2005
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