Strict stationarity testing and GLAD estimation of double autoregressive models-Reference-Cited by-同舟云学术

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Strict stationarity testing and GLAD estimation of double autoregressive models

Published:2019-08 Issue:2 Volume:211 Page:319-337
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Guo Shaojun,Li Dong,Li Muyi

Funder

NSFC, China

Fundamental Research Funds for the Central Universities, China

Renmin University of China, China

Fujian Key Laboratory of Statistical Science and IT service, China

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference36 articles.

1. Generalized autoregressive conditional heteroskedasticity;Bollerslev;J. Econometrics,1986

2. The tail of the stationary distribution of an autoregressive process with ARCH(1) errors;Borkovec;Ann. Appl. Probab.,2001

3. Weighted least absolute deviation estimation for an AR(1) process with ARCH(1) errors;Chan;Biometrika,2005

4. Least absolute relative error estimation;Chen;J. Amer. Statist. Assoc.,2010

5. Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model;Chen;J. Time Ser. Anal.,2014

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