Estimation and Testing for Unit Root Processes with GARCH(1,1) Errors: Theory and Monte Carlo Evidence
Shiqing Ling (),
W. K. Li and
Michael McAleer
ISER Discussion Paper from Institute of Social and Economic Research, Osaka University
Abstract:
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 alpha + beta
Date: 2001-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)
Downloads: (external link)
https://www.iser.osaka-u.ac.jp/library/dp/2001/dp0544.pdf
Related works:
Journal Article: Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence (2003) 
Working Paper: Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence (2003) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:dpr:wpaper:0544
Access Statistics for this paper
More papers in ISER Discussion Paper from Institute of Social and Economic Research, Osaka University Contact information at EDIRC.
Bibliographic data for series maintained by Librarian ().