Asymptotic theory for ARCH-SM models: Lan and residual empirical processes

Sangyeol Lee, Masanobu Taniguchi

Research output: Contribution to journalArticlepeer-review

23 Citations (Scopus)

Abstract

In this paper, we have two asymptotic objectives: the LAN and the residual empirical process for a class of ARCH(∞)-SM (stochastic mean) models, which covers finite-order ARCH and GARCH models. First, we establish the LAN for the ARCH(∞)-SM model and, based on it, construct an asymptotically optimal test when the parameter vector contains a nuisance parameter. Also, we discuss asymptotically efficient estimators for unknown parameters when the innovation density is known and when it is unknown. For the residual empirical process, we investigate its asymptotic behavior in ARCH(q)-SM models. We show that, unlike the usual autoregressive model, the limiting distribution in this case depends upon the estimator of the regression parameter as well as those of the ARCH parameters.

Original languageEnglish
Pages (from-to)215-234
Number of pages20
JournalStatistica Sinica
Volume15
Issue number1
Publication statusPublished - 2005 Jan 1

Keywords

  • ARCH model
  • ARCH(∞)-SM model
  • Asymptotically efficient estimator
  • Asymptotically optimal test
  • GARCH model
  • Gaussian process
  • LAN
  • Residual empirical process
  • Weak convergence

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Fingerprint Dive into the research topics of 'Asymptotic theory for ARCH-SM models: Lan and residual empirical processes'. Together they form a unique fingerprint.

Cite this