Ling, Shiqing; Li, W. K.; McAleer, Michael - In: Econometric Reviews 22 (2003) 2, pp. 179-202
Least squares (LS) and maximum likelihood (ML) estimation are considered for unit root processes with GARCH (1, 1) errors. The asymptotic distributions of LS and ML estimators are derived under the condition α + β 1. The former has the usual unit root distribution and the latter is a...