{"created":"2021-03-01T07:02:39.872566+00:00","id":42736,"links":{},"metadata":{"_buckets":{"deposit":"61abcabe-45f9-49c6-9d0b-720e6b5e718b"},"_deposit":{"id":"42736","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42736"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042736","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2003-03","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"2003-CF-207","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-F"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"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.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Econometric Reviews. 掲載予定.","subitem_description_type":"Other"},{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2003/2003cf207ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11450569","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"330","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"Hong Kong University of Science and Technology"},{"subitem_text_value":"Hong Kong University"},{"subitem_text_value":"University of Western Australia"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Ling, Shiqing"}],"nameIdentifiers":[{"nameIdentifier":"98289","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"W., K.  Li"}],"nameIdentifiers":[{"nameIdentifier":"98290","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Michael, McAleer"}],"nameIdentifiers":[{"nameIdentifier":"98291","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"asymptotic distribution","subitem_subject_scheme":"Other"},{"subitem_subject":"Brownian motion","subitem_subject_scheme":"Other"},{"subitem_subject":"GARCH model","subitem_subject_scheme":"Other"},{"subitem_subject":"Least squares estimator","subitem_subject_scheme":"Other"},{"subitem_subject":"Maximum likelihood estimator","subitem_subject_scheme":"Other"},{"subitem_subject":"Unit root","subitem_subject_scheme":"Other"},{"subitem_subject":"JEL Classification; C22, C12, C15","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors : Theory and Monte Carlo Evidence","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors : Theory and Monte Carlo Evidence"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2017-01-17"},"publish_date":"2017-01-17","publish_status":"0","recid":"42736","relation_version_is_last":true,"title":["Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors : Theory and Monte Carlo Evidence"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:57.755354+00:00"}