An asymptotic expansion in the Garch(1, 1) model

Econometric Theory

Volumn 13, Issue 4, 1997, Pages 558-581

  Linton, Oliver ^a  

^a YALE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031505937     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466600006009     Document Type: Article

References (7)

1. Akahira, M. & K. Takeuchi (1981) Asymptotic Efficiency of Statistical Estimators: Concepts and Higher Order Asymptotic Efficiency. Berlin: Springer-Verlag.
2. Anderson, T.W. (1974) An asymptotic expansion of the distribution of the limited information maximum likelihood estimate of a coefficient in a simultaneous equation system. Journal of the American Statistical Association 69, 565-573.
3. Anderson, T.W. (1977) Asymptotic expansions of the distributions of estimates in simultaneous equations for alternative parameter sequences. Econometrica 45, 509-518.
4. Anderson, T.W. & T. Sawa (1973) Distributions of estimates of coefficients of a single equation in a simultaneous system and their asymptotic expansion. Econometrica 41, 683-714.
5. Anderson, T.W. & T. Sawa (1979) Evaluation of the distribution function of the two stage least squares estimate. Econometrica 47, 163-182.
6. Andrews, D.W.K. (1993) Exactly median unbiased estimation of first order autoregressive/unit root models. Econometrica 61, 139-166.
7. Baillie, R.T. & T. Bollerslev (1992) Prediction in dynamic models with time-dependent conditional variances. Journal of Econometrics 52, 91-113.