Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/186129
Authors: 
Chan, Felix
McAleer, Michael
Medeiros, Marcelo C.
Year of Publication: 
2005
Series/Report no.: 
Texto para discussão 506
Abstract: 
Nonlinear time series models, especially those with regime-switching and GARCH errors, have become increasingly popular in the economics and finance literature. However, much of the research has concentrated on the empirical applications of various models, with little theoretical or statistical analysis associated with the structure of the processes or the associated asymptotic theory. In this paper we derive necessary and sufficient conditions for strict stationarity and ergodicity of three different specifications of the first-order STAR-GARCH model, and sufficient conditions for the existence of moments. This is important, among others, to establish the conditions under which the traditional LM linearity tests based on Taylor expansions are valid. Finally, we provide sufficient conditions for consistency and asymptotic normality of the Quasi-Maximum Likelihood Estimator.
Subjects: 
Nonlinear time series
regime-switching
STAR
GARCH
log-moment
moment conditions
asymptotic theory
Document Type: 
Working Paper
Social Media Mentions:

Files in This Item:
File
Size
242.75 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.