Article ID Journal Published Year Pages File Type
7549448 Statistics & Probability Letters 2015 8 Pages PDF
Abstract
We establish consistency and asymptotic normality for a weighted least squares estimate (2SWLSE) of a threshold power ARCH process in both stationary and nonstationary environments. For models with heavy tail innovations, the 2SWLSE is more efficient than the quasi-maximum likelihood estimate.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Weighted least squares-based inference for stable and unstable threshold power ARCH processes
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