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BIVARIATE ARCH MODELS: FINITE-SAMPLE PROPERTIES OF QML ESTIMATORS AND AN APPLICATION TO AN LM-TYPE TEST
Iglesias, Emma M.; Phillips, Garry D.A. - In: Econometric theory 21 (2005) 6, pp. 1058-1086
Persistent link: https://www.econbiz.de/10006957907
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Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable
Kiviet, Jan F.; Phillips, Garry D.A. - In: Econometric theory 9 (1993) 1, pp. 62-80
Persistent link: https://www.econbiz.de/10007019330
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HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS
Iglesias, Emma M.; Linton, Oliver B.; Andrews, D.W.K.; … - In: Econometric theory 23 (2007) 6, pp. 1136-1161
Persistent link: https://www.econbiz.de/10007869213
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Higher order asymptotic theory when a parameter is on a boundary with an application to GARCH models
Iglesias, Emma M.; Linton, Oliver - In: Econometric theory 23 (2007) 6, pp. 1136-1161
Persistent link: https://www.econbiz.de/10003591844
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Bivariate ARCH models : finite-sample properties of QML estimators and an application to an LM-type test
Iglesias, Emma M.; Phillips, Garry D. A. - In: Econometric theory 21 (2005) 6, pp. 1058-1086
Persistent link: https://www.econbiz.de/10003193549