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Consistency and asymptotic normality are established for the maximum likelihood estimators in the nonstationary ARCH and GARCH models with general t-distributed innovations. The results hold for joint estimation of (G)ARCH effects and the degrees of freedom parameter parametrizing the...
Persistent link: https://www.econbiz.de/10011265726
This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By defi?nition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modifi?ed likelihood function, or estimating function, corresponding to...
Persistent link: https://www.econbiz.de/10010851199
This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By definition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modifi?ed likelihood function, or estimating function, corresponding to...
Persistent link: https://www.econbiz.de/10010610256
Many key macro-economic and financial variables are characterised by permanent changes in unconditional volatility. In this paper we analyse vector autoregressions with non-stationary (unconditional) volatility of a very general form, which includes single and multiple volatility breaks as...
Persistent link: https://www.econbiz.de/10005440040
type="main" xml:id="obes12051-abs-0001" <title type="main">Abstract</title> <p>In this article, we investigate the behaviour of a number of methods for estimating the co-integration rank in VAR systems characterized by heteroskedastic innovation processes. In particular, we compare the efficacy of the most widely used...</p>
Persistent link: https://www.econbiz.de/10011202313
It is well known that the finite‐sample properties of tests of hypotheses on the co‐integrating vectors in vector autoregressive models can be quite poor, and that current solutions based on Bartlett‐type corrections or bootstrap based on unrestricted parameter estimators are...
Persistent link: https://www.econbiz.de/10011235037
In this paper we investigate the behaviour of a number of methods for estimating the co-integration rank in VAR systems characterized by heteroskedastic innovation processes. In particular we compare the efficacy of the most widely used information criteria, such as AIC and BIC, with the...
Persistent link: https://www.econbiz.de/10010903767
In a recent paper Cavaliere et al. (2012) develop bootstrap implementations of the (pseudo-) likelihood ratio [PLR] co-integration rank test and associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are constructed using the restricted parameter estimates...
Persistent link: https://www.econbiz.de/10010851226
In a recent paper Cavaliere et al. (2012) develop bootstrap implementations of the (pseudo-) likelihood ratio (PLR) co-integration rank test and associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are constructed using the restricted parameter estimates...
Persistent link: https://www.econbiz.de/10010953307
Persistent link: https://www.econbiz.de/10011026258