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008			240325b |||||||| |||| 00| 0 eng d
022			_a02664666
040			_aMSU _bEnglish _cMSU _erda
050	0	0	_aHB139.T52 ECO
100	1		_aLi, Guodong _eauthor
245	1	0	_aLeast absolute deviation estimation for unit root processes with GARCH errors _ccreated by Guodong Li and Wai Keung Li
264	1		_aCambridge: _bCambridge University Press, _c2009.
336			_2rdacontent _atext _btxt
337			_2rdamedia _aunmediated _bn
338			_2rdacarrier _avolume _bnc
440			_aEconometric theory _vVolume 25, number 5
520	3		_aThis paper considers a local least absolute deviation estimation for unit root processes with generalized autoregressive conditional heteroskedastic (GARCH) errors and derives its asymptotic properties under only finite second-order moment for both errors and innovations. When the innovations are symmetrically distributed, the asymptotic distribution of the estimated unit root is shown to be a functional of a bivariate Brownian motion, and then two unit root tests are derived. The simulation results demonstrate that the tests outperform those based on the Gaussian quasi maximum likelihood estimators with heavy-tailed innovations and those based on the simple least absolute deviation estimators.
650			_aEstimation theory _vUnit root test _xARCH model
700	1		_aLi, Wai Keung _eco author
856			_uhttps://doi.org/10.1017/S0266466608090488
942			_2lcc _cJA
999			_c164542 _d164542