In models that have a representation of the form       ) , ( x g y the Wald test for ˆBeta has systematically wrong size in finite samples when the indentifying parameter Gamma is small relative to its estimation error. An alternative test based on linearization of...

We consider maximum likelihood estimation of a particular noninvertible ARMA model with autoregressive conditionally heteroskedastic (ARCH) errors. The model can be seen as an extension to so-called all-pass models in that it allows for autocorrelation and for more fl exible forms of conditional...