Limit theory for moderate deviations from a unit root with a break in variance
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Publication:5075479
DOI10.1080/03610926.2017.1406515OpenAlexW2774031614MaRDI QIDQ5075479
Publication date: 16 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2017.1406515
least squares estimatorquasi-maximum likelihood estimatormildly integratedmildly explosivebreak in variance
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)
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