Asymptotic Inference for Unit Root Processes with Garch(1,1) Errors
نویسندگان
چکیده
This paper investigates the so-called one-step local quasi–maximum likelihood estimator for the unit root process with GARCH~1,1! errors+ When the scaled conditional errors ~the ratio of the disturbance to the conditional standard deviation! follow a symmetric distribution, the asymptotic distribution of the estimated unit root is derived only under the second-order moment condition+ It is shown that this distribution is a functional of a bivariate Brownian motion as in Ling and Li ~1998, Annals of Statistics 26, 84–125! and can be used to construct the unit root test+
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