Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors
The weighted least absolute deviations estimator is studied for an AR(1) process with ARCH(1) errors ϵ-sub-t. Unlike for the quasi maximum likelihood estimator, the estimator's, limiting distribution is shown to be normal even when E(ϵ-sub-t-super-4) = ∞. Furthermore, the estimator can be applied to examine the symmetry of the density of ϵ-sub-t and to estimate the quantity E(log |α + λ-super-½ ϵ-sub-t|), which are of crucial importance for conducting asymptotic inference for quasi maximum likelihood estimators and weighted least absolute deviations estimators. Copyright 2005, Oxford University Press.
Year of publication: |
2005
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Authors: | Chan, Ngai Hang ; Peng, Liang |
Published in: |
Biometrika. - Biometrika Trust, ISSN 0006-3444. - Vol. 92.2005, 2, p. 477-484
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Publisher: |
Biometrika Trust |
Saved in:
Online Resource
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