LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS

DOI10.1017/S0266466608090488zbMath1284.62565MaRDI QIDQ5411515

Publication date: 23 April 2014

Published in: Econometric Theory (Search for Journal in Brave)

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Central limit and other weak theorems (60F05) Statistical methods; economic indices and measures (91B82)

Related Items (6)

Nearly nonstationary processes under infinite variance GARCH noises ⋮ QUANTILE DOUBLE AUTOREGRESSION ⋮ On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing ⋮ Least absolute deviation estimation for AR(1) processes with roots close to unity ⋮ A HYBRID BOOTSTRAP APPROACH TO UNIT ROOT TESTS ⋮ Linear double autoregression

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