A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity

被引：0
作者：
Paulo M. M. Rodrigues
Antonio Rubia
机构：
[1] University of Algarve,Faculty of Economics
[2] University of Alicante,Department of Financial Economics
来源：
Statistical Papers | 2008年 / 49卷
关键词：
Maximum likelihood estimation; Nonstationarity; Volatility; Interest rates;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we investigate the empirical distribution and the statistical properties of maximum likelihood (ML) unit-root t-statistics computed from data sampled from a first-order autoregressive (AR) process with level-dependent conditional heteroskedasticity (LDCH). This issue is of particular importance for applications on interest rate time-series. Unfortunately, the extent of the technical complexity related associated to LDCH patterns does not offer a feasible theoretical analysis, and there is no formal knowledge about the finite-sample size and power behaviour or the ML test for this context. Our analysis provides valuable guidelines for applied work and directions for future work.
引用
收藏
页码：581 / 593
页数：12
相关论文
共 44 条
[1]  
Anderson TG(1997)Estimating continous-time stochastic volatility models of the short-term interest rates J Econometrics 77 343-377
[2]  
Lund J(2003)Modeling the stochastic behavior of short-term interest rates: pricing implications for discount bonds J Bank Finan 27 201-228
[3]  
Bali TG(1992)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances Economet Rev 11 143-172
[4]  
Bollerslev T(1995)Testing for continuous-time models of the short-term interest rate J Empirical Finan 2 199-223
[5]  
Wooldridge J(1992)An empirical comparison of alternative models of the short-term interest rate J Finan 47 1209-1227
[6]  
Broze L(1985)A theory of the term structure of interest rates Econometrica 53 385-407
[7]  
Scaillet O(1979)Distribution of the estimators for autoregressive time series with a unit root J Am Stat Asso 74 427-431
[8]  
Zaköian JM(1987)Estimating time varying risk premia in the term structure: the ARCH-M model Econometrica 55 391-407
[9]  
Chan KC(1997)Unit root tests with conditional heteroskedasticity J Econometrics 59 287-300
[10]  
Karolyi GA(1997)The dynamics of short-term interest rate volatility reconsidered Euro Finan Rev 1 105-130
12345