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- W3150679237 abstract "This paper investigates the so-called one-step local quasi‐maximum likelihood estimator for the unit root process with GARCH~1,1! errors+ When the scaled conditional errors ~the ratio of the disturbance to the conditional standard deviation! follow a symmetric distribution, the asymptotic distribution of the estimated unit root is derived only under the second-order moment condition+ It is shown that this distribution is a functional of a bivariate Brownian motion as in Ling and Li ~1998, Annals of Statistics 26, 84‐125! and can be used to construct the unit root test+" @default.
- W3150679237 created "2021-04-13" @default.
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- W3150679237 date "2003-01-01" @default.
- W3150679237 modified "2023-09-24" @default.
- W3150679237 title "ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS" @default.
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