2024-03-29T05:30:29Z
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oai:repository.dl.itc.u-tokyo.ac.jp:00042736
2022-12-19T04:17:57Z
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Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors : Theory and Monte Carlo Evidence
Ling, Shiqing
98289
W., K. Li
98290
Michael, McAleer
98291
330
asymptotic distribution
Brownian motion
GARCH model
Least squares estimator
Maximum likelihood estimator
Unit root
JEL Classification; C22, C12, C15
application/pdf
Least squares (LS) and maximum likelihood (ML) estimation are con-sidered for unit root processes with GARCH (1, 1) errors. The asymptotic distributions of LS and ML estimators are derived under the con-dition α+β < 1. The former has the usual unit root distribution and the latter is a functional of a bivariate Brownian motion, as in Ling and Li (1998). Several unit root tests based on LS estimators, ML estimators, and mixing LS and ML estimators, are constructed. Simulation results show that tests based on mixing LS and ML estimators perform better than Dickey-Fuller tests which are based on LS estimators, and that tests based on the ML estimators perform better than the mixed estimators.
Econometric Reviews. 掲載予定.
本文フィルはリンク先を参照のこと
technical report
日本経済国際共同センター
2003-03
Discussion paper series. CIRJE-F
2003-CF-207
AA11450569
eng
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2003/2003cf207ab.html
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