Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity

DOI10.1093/biomet/88.4.1135zbMath1006.62080OpenAlexW1971150191MaRDI QIDQ2773191

Wai Keung Li, Heung Wong, Shiqing Ling

Publication date: 10 March 2003

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/88.4.1135

zbMATH Keywords

Brownian motioncointegrationleast squares estimatormaximum likelihood estimatorsunit rootsreduced-rankpartially nonstationaryfull-rankmultivariate ARCH process

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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