文献详情
Double AR model without intercept: An alternative to modeling nonstationarity and heteroscedasticity
文献类型：期刊
通讯作者：Zhu, K (reprint author), Univ Hong Kong, Dept Stat & Actuarial Sci, Run Run Shaw Bldg,Pok Fu Lam Rd, Hong Kong, Peoples R China.
期刊名称：ECONOMETRIC REVIEWS影响因子和分区
年：2019
卷：38
期：3
页码：319-331
ISSN：0747-4938
关键词：DAR model; DARWIN model; geometric Brownian motion; heteroscedasticity; Lyapunov exponent; nonstationary time series; ordinary oscillation; quasi-maximum likelihood estimation
所属部门：统计与大数据研究院
摘要：This paper presents a double AR model without intercept (DARWIN model) and provides us a new way to study the nonstationary heteroscedastic time series. It is shown that the DARWIN model is always nonstationary and heteroscedastic, and its sample properties depend on the Lyapunov exponent. An easy-to-implement estimator is proposed for the Lyapunov exponent, and it is unbiased, strongly consistent, and asymptotically normal. Based on this estimator, a powerful test is constructed for testing the ...More
This paper presents a double AR model without intercept (DARWIN model) and provides us a new way to study the nonstationary heteroscedastic time series. It is shown that the DARWIN model is always nonstationary and heteroscedastic, and its sample properties depend on the Lyapunov exponent. An easy-to-implement estimator is proposed for the Lyapunov exponent, and it is unbiased, strongly consistent, and asymptotically normal. Based on this estimator, a powerful test is constructed for testing the ordinary oscillation of the model. Moreover, this paper proposes the quasi-maximum likelihood estimator (QMLE) for the DARWIN model, which has an explicit form. The strong consistency and asymptotic normality of the QMLE are established regardless of the sign of the Lyapunov exponent. Simulation studies are conducted to assess the performance of the estimation and testing, and an empirical example is given for illustrating the usefulness of the DARWIN model. ...Hide

DOI：10.1080/07474938.2017.1310080
百度学术：Double AR model without intercept: An alternative to modeling nonstationarity and heteroscedasticity
语言：外文
被引频次：1
基金：Tsinghua University [553310013]; NSFCNational Natural Science Foundation of China [11371354, 11401337, 11571348, 71532013]; Fundamental Research Funds for the central Universites; Renmin Uiversity of China
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