This paper investigates some structural properties of a family of GARCH processes. A simple sufficient condition for the existence of the αδ-order stationary solution of the processes is derived, where α ∈ (0, 1] and δ 0. The solution is strictly stationary and ergodic, and the causal...

In this paper we examine the asymptotic properties of the estimator of the long-run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show that the OLS estimators of the regression coefficients are inconsistent but the OLS-based...

Nonlinear time series models, especially those with regime-switching and/or conditionally heteroskedastic errors, have become increasingly popular in the economics and finance literature. However, much of the research has concentrated on the empirical applications of various models, with little...

In this paper we propose methods to construct confidence intervals for the bias of the two-stage least squares estimator, and the size distortion of the associated Wald test in instrumental variables models. Importantly our framework covers the local projections — instrumental variable model...