Consistency and asymptotic normality of the quasi-maximum likelihood estimator in IGARCH(1,1) and covariance stationary GARCH(1,1) models

Article Abstract:

The consistency and asymptotic normality of the quasi-maximum likelihood estimator in GARCH(1,1) and IGARCH(1,1) models are proven. A unit root present in the conditional variance, in comparison to a unit root in the conditional mean, does not change the limiting distribution of estimators. The estimators in both models are normally distributed. The availability of a consistent estimator of the covariance matrix made the use of standard test statistics for inference possible.

Heteroscedasticity, Asymptotic efficiencies (Statistics)

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The influence of VAR dimensions on estimator biases

Article Abstract:

Vector Autoregression (VAR) is one the most popular and effective tools used by econometricians in doing time series analysis. However, careless use of this tool, which may result to varying the dimensions of VARs on the biases of maximum likelihood and least squares estimators may have negative consequences. Furthermore, adding economically-irrelevant variable to VAR when being used in time series analysis will provide erroneous results.

Equipment and supplies, Time-series analysis, Time series analysis

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Multiple trend breaks and the unit-root hypothesis

Article Abstract:

An analysis of the relationship between structural breaks and the unit-root hypothesis reveals that interference related to unit roots is sensitive to the number of assumed structural breaks. Econometric theories in the case of one model breaks may also be used for two model breaks and that limiting distributions of interference allow a standard where computed values may be used for empirical results.

Evaluation, Statistics, Statistics (Data), Persistence, Persistence (Psychology)

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