Chan, Ngai Hang; Peng, Liang - In: Biometrika 92 (2005) 2, pp. 477-484
The weighted least absolute deviations estimator is studied for an AR(1) process with ARCH(1) errors ϵ-sub-t. Unlike for the quasi maximum likelihood estimator, the estimator's, limiting distribution is shown to be normal even when E(ϵ-sub-t-super-4) = ∞. Furthermore, the estimator can be...
