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Strict stationarity testing and GLAD estimation of double autoregressive models · Study

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ArticleStrict stationarity testing and GLAD estimation of double autoregressive models

Shaojun Guo2019

Article2019

Strict stationarity testing and GLAD estimation of double autoregressive models

Shaojun Guo · Muyi Li

14 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Complex Systems and Time Series Analysis Diverse Scientific and Economic Studies

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1984ARMA MODELS WITH ARCH ERRORS 1987Conditional Heteroscedastic Time Series Models 2004ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH 2004Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case 2003Estimation and Testing Stationarity for Double-Autoregressive Models 2011Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA–GARCH/IGARCH models

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Year2019

Typearticle

Published2019-03-14

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations14

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jeconom.2019.01.012

openalex_workW2962853992

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