Weighted least squares-based inference for stable and unstable threshold power ARCH processes

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.

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Year of publication:	2015
Authors:	Aknouche, Abdelhakim ; Touche, Nassim
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 97.2015, C, p. 108-115
Publisher:	Elsevier
Subject:	Threshold power ARCH \| Two-stage weighted least squares \| Consistency and asymptotic normality \| Strict stationarity testing \| Heavy tailed distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011189363