Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors : Theory and Monte Carlo Evidence

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Material Type: 文書・図像類
Title: Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors : Theory and Monte Carlo Evidence
Author/Editor: Ling, Shiqing
W., K. Li
Michael, McAleer
Author Heading: Ling, Shiqing
W., K. Li
Michael, McAleer
Publication, Distribution, etc.: 日本経済国際共同センター
Publication Date: 2003-03
Publication Date (W3CDTF): 2003-03
Periodical title: Discussion paper series. CIRJE-F
No. or year of volume/issue: 2003-CF-207
Volume: 2003-CF-207
Text Language Code: eng
Subject Heading: asymptotic distribution
Brownian motion
GARCH model
Least squares estimator
Maximum likelihood estimator
Unit root
JEL Classification; C22, C12, C15
NDC: 330
Target Audience: 一般
Note (General): application/pdf
Econometric Reviews. 掲載予定.
本文フィルはリンク先を参照のこと
Related Material (URI): URI
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2003/2003cf207ab.html
Periodical Title (NCID): AA11450569
https://ci.nii.ac.jp/ncid/AA11450569
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 東京大学 : 東京大学学術機関リポジトリ