Department of Mathematics Hong Kong University of Science and Technology
Econometric Institute, Erasmus School of Economics Erasmus University Rotterdam
Tinbergen Institute, The Netherlands
Center for International Research on the Japanese Economy (CIRJE) Faculty of Economics, University of Tokyo
抄録
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.
内容記述
本文フィルはリンク先を参照のこと
雑誌名
Discussion paper series. CIRJE-F
巻
CIRJE-F-670
発行年
2009-09
書誌レコードID
AA11450569
フォーマット
application/pdf
日本十進分類法
335
出版者
日本経済国際共同センター
出版者別名
Center for International Research on the Japanese Economy
A General Asymptotic Theory for Time Series Models
