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
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W. K. Li: Department of Statistics and Actuarial Science, University of Hong Kong

No CIRJE-F-207, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: Least squares (LS) and maximum likelihood (ML) estimation are con-sidered for unit root processes with GARCH (1, 1) errors. The asymp-totic distributions of LS and ML estimators are derived under the con-dition ƒ¿ + ƒÀ

Pages: 30 pages
Date: 2003-03
New Economics Papers: this item is included in nep-cmp, nep-ecm and nep-ets
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Citations: View citations in EconPapers (31)

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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 (2001)
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