Estimation for nearly unit root processes with GARCH errors-中国期刊网

摘要 InthispaperthelimitingdistributionoftheleastsquareestimatefortheautoregressivecoefficientofanearlyunitrootmodelwithGARCHerrorsisderived.Sincethelimitingdistributiondependsontheunknownvarianceoftheerrors,anempiricallikelihoodratiostatisticisproposedfromwhichconfidenceintervalscanbeconstructedforthenearlyunitrootmodelwithoutknowingthevariance.Togainanintuitivesensefortheempiricallikelihoodratio,asmallsimulationfortheasymptoticdistributionisgiven.

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Estimation for nearly unit root processes with GARCH errors

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Estimation for nearly unit root processes with GARCH errors

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