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, The University of Osaka

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
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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)
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Persistent link: https://EconPapers.repec.org/RePEc:dpr:wpaper:0544

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