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Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors : Theory and Monte Carlo Evidence
http://hdl.handle.net/2261/2483
http://hdl.handle.net/2261/2483900792af-4df7-4317-af05-fd9fd8e1facc
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2017-01-17 | |||||
タイトル | ||||||
タイトル | Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors : Theory and Monte Carlo Evidence | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | asymptotic distribution | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Brownian motion | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | GARCH model | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Least squares estimator | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Maximum likelihood estimator | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Unit root | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | JEL Classification; C22, C12, C15 | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Ling, Shiqing
× Ling, Shiqing× W., K. Li× Michael, McAleer |
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著者所属 | ||||||
著者所属 | Hong Kong University of Science and Technology | |||||
著者所属 | ||||||
著者所属 | Hong Kong University | |||||
著者所属 | ||||||
著者所属 | University of Western Australia | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | 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. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | Econometric Reviews. 掲載予定. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 2003-CF-207, 発行日 2003-03 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 330 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
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 | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2003/2003cf207ab.html |