Structure and asymptotic theory for nonlinear models with GARCH errors
Nonlinear time series models, especially those with regime-switching and/or conditionally heteroskedastic 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 theo...
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| Format: | Journal Article |
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Elsevier Ltd
2015
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| Online Access: | http://hdl.handle.net/20.500.11937/76323 |
| _version_ | 1848763668432420864 |
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| author | Chan, Felix McAleer, M. Medeiros, M. |
| author_facet | Chan, Felix McAleer, M. Medeiros, M. |
| author_sort | Chan, Felix |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Nonlinear time series models, especially those with regime-switching and/or conditionally heteroskedastic 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 sufficient conditions for strict stationarity and ergodicity of three different specifications of the first-order smooth transition autoregressions with heteroskedastic errors. This is essential, among other reasons, to establish the conditions under which the traditional LM linearity tests based on Taylor expansions are valid. We also provide sufficient conditions for consistency and asymptotic normality of the Quasi-Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors |
| first_indexed | 2025-11-14T11:07:07Z |
| format | Journal Article |
| id | curtin-20.500.11937-76323 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T11:07:07Z |
| publishDate | 2015 |
| publisher | Elsevier Ltd |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-763232019-09-19T06:28:47Z Structure and asymptotic theory for nonlinear models with GARCH errors Chan, Felix McAleer, M. Medeiros, M. Nonlinear time series Regime-switching Smooth transition STAR GARCH Asymptotic theory Nonlinear time series models, especially those with regime-switching and/or conditionally heteroskedastic 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 sufficient conditions for strict stationarity and ergodicity of three different specifications of the first-order smooth transition autoregressions with heteroskedastic errors. This is essential, among other reasons, to establish the conditions under which the traditional LM linearity tests based on Taylor expansions are valid. We also provide sufficient conditions for consistency and asymptotic normality of the Quasi-Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors 2015 Journal Article http://hdl.handle.net/20.500.11937/76323 10.1016/j.econ.2015.01.001 http://creativecommons.org/licenses/by-nc-nd/4.0/ Elsevier Ltd fulltext |
| spellingShingle | Nonlinear time series Regime-switching Smooth transition STAR GARCH Asymptotic theory Chan, Felix McAleer, M. Medeiros, M. Structure and asymptotic theory for nonlinear models with GARCH errors |
| title | Structure and asymptotic theory for nonlinear models with GARCH errors |
| title_full | Structure and asymptotic theory for nonlinear models with GARCH errors |
| title_fullStr | Structure and asymptotic theory for nonlinear models with GARCH errors |
| title_full_unstemmed | Structure and asymptotic theory for nonlinear models with GARCH errors |
| title_short | Structure and asymptotic theory for nonlinear models with GARCH errors |
| title_sort | structure and asymptotic theory for nonlinear models with garch errors |
| topic | Nonlinear time series Regime-switching Smooth transition STAR GARCH Asymptotic theory |
| url | http://hdl.handle.net/20.500.11937/76323 |