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- W2034398913 abstract "This 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." @default.
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- W2034398913 date "2009-10-01" @default.
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- W2034398913 title "LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS" @default.
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- W2034398913 doi "https://doi.org/10.1017/s0266466608090488" @default.
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