Empirical likelihood for garch models

Econometric Theory

Volumn 22, Issue 3, 2006, Pages 403-428

  Chan, Ngai Hang ^a   Ling, Shiqing ^b  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^b HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33644996251     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466606060208     Document Type: Article

References (22)

1. Chan, N.H. & C.Z. Wei (1987) Asymptotic inference for nearly nonstationary AR(1) processes. Annals of Statistics 15, 1050-1062.
2. Chan, N.H. & C.Z. Wei (1988) Limiting distributions of least squares estimates of unstable auto-regressive processes. Annals of Statistics 16, 367-401.
3. Chuang, C.S. & N.H. Chan (2002) Empirical likelihood for autoregressive models with applications to unstable time series. Statistica Sinica 12, 387-407.
4. Chung, K.L. (1968) A Course in Probability Theory. Academic Press.
5. Francq, C. & J.M. Zakoïan (2004) Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes. Bernoulli 10, 605-637.
6. Kitamura, Y. (1997) Empirical likelihood methods with weakly dependent processes. Annals of Statistics 25, 2084-2102.
7. Kitamura, Y. (2001) Asymptotic optimality of empirical likelihood for testing moment restrictions. Econometrica 69, 1661-1672.
8. Kitamura, Y., G. Tripathi, & H. Ahn (2004) Empirical likelihood-based inference in conditional moment restriction models. Econometrica 72, 1667-1714.
9. Kolaczyk, E.D. (1994) Empirical likelihood for generalized linear models. Statistica Sinica 4, 199-218.
10. Lee, S.-W. & B.E. Hansen (1994) Asymptotic theory for GARCH(1,1) quasi-maximum likelihood estimator. Econometric Theory 10, 29-52.
11. Ling, S. (2006) Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models. Journal of Econometrics, submitted.
12. Ling, S. & W.K. Li (1998) Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroskedastic errors. Annals of Statistics 26, 84-125.
13. Ling, S. & W.K. Li (2003) Asymptotic inference for unit root with GARCH(1,1) errors. Econometric Theory 19, 541-564.
14. Ling, S., W.K. Li, & M. McAleer (2003) Estimation and testing for unit root processes with GARCH (1,1) errors: Theory and Monte Carlo study. Econometric Reviews 22, 179-202.
15. Owen, A. (1988) Empirical likelihood ratio confidence intervals for a single functional. Biometrika 75, 237-249.
16. Owen, A. (1990) Empirical likelihood ratio confidence regions. Annals of Statistics 18, 90-120.
17. Owen, A. (1991) Empirical likelihood for linear models. Annals of Statistics 19, 1725-1747.
18. Qin, J. & J. Lawless (1994) Empirical likelihood and general estimating equations. Annals of Statistics 22, 300-325.
19. Pantula, S.G. (1989) Estimation of autoregressive models with ARCH errors. Sankhyā B 50, 119-138.
20. Phillips, P.C.B. (1989) Partially identified econometric models. Econometric Theory 5, 181-240.
21. Seo, B. (1999) Distribution theory for unit root tests with conditional heteroskedasticity. Journal of Econometrics 91, 113-144.
22. Wright, J. (1999) An empirical likelihood ratio test for a unit root, problem 99.2.1. Econometric Theory 15, 257.