Estimation and inference for nonlinear time series model in the presence of unspecified conditional variance: An EF approach

References

• Bera , A. K. , Bilias , Y. and Simlai , P. 2006 . “ Estimating functions and equations: an essay on historical developments with applications to econometrics ” . In Handbook of Econometrics , Vol. 1 , 427 – 476 . London : Palgrave-MacMillan .
   Google Scholar
• Cambell , J. Y. , Lo , A. L. and MacKinlay , A. C. 1997 . The Econometrics of Financial Markets , Princeton , New Jersey : Princeton University Press .
   Google Scholar
• Drost , F. C. and Klaassen , C. A. J. 1997 . Efficient estimation in semiparametric GARCH models . Journal of Econometrics , 81 : 193 – 221 .
   Web of Science ®Google Scholar
• Engle , R. F. 1982 . Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation . Econometrics , 50 : 987 – 1008 .
   Web of Science ®Google Scholar
• Engle , R. F. , Lilien , D. M. and Robins , R. P. 1987 . Estimating time varying risk premia in the term structure: the ARCH-M model . Econometrica , 55 : 391 – 407 .
   Web of Science ®Google Scholar
• Granger , C. W. J. and Terasvirta , T. 1993 . Modelling Nonlinear Economic Relationships , New York : Oxford University Press .
   Google Scholar
• Godambe , V.P. 1985 . The foundations of finite sample estimation in stochastic processes . Biometrika , 72 : 419 – 428 .
   Web of Science ®Google Scholar
• Godambe , V.P. and Heyde , C.C. 1987 . Quasi-likelihood and optimal estimation . International Statistical Review , 55 : 231 – 244 .
   Web of Science ®Google Scholar
• Heyde , C.C. 1987 . Quasi-likelihood and Its Application: A General Approach to Optimal Parameter Estimation , Springer-Verlag Inc .
   Google Scholar
• Li , D. X. and Turtle , H. J. 2000 . Semiparametric ARCH models: an estimating function approach . Journal of Business and Economic Statistics , 18 : 174 – 186 .
   Web of Science ®Google Scholar
• McCullagh , P. and Nelder , J. 1989 . Generalized Linear Models , Chapman and Hall .
   Google Scholar
• Newey , W. K. and McFadden , D. 1993 . Handbook of Econometrics: Large Sample Estimation and Hypothesis Testing , New York : Elsvier/North Holland .
   Google Scholar
• Premaratne , G. and Bera , A. 2002 . Modeling asymmetry and excess kurtosis in stock return data , working paper Department of Economics, University of Illinois at Urbana-Champaign .
   Google Scholar
• Sørensen , M. 1999 . On asymptotics of estimating functions . Brazilian Journal of Probability and Statistics , 13 : 111 – 136 .
   Google Scholar