This paper studies a partially nonstationary vector autoregressive(VAR)model with vector GARCH noises.We study the full rank and the reduced rank quasi-maximum likelihood estimators(QMLE)of parameters in the model.It ...This paper studies a partially nonstationary vector autoregressive(VAR)model with vector GARCH noises.We study the full rank and the reduced rank quasi-maximum likelihood estimators(QMLE)of parameters in the model.It is shown that both QMLE of long-run parameters asymptotically converge to a functional of two correlated vector Brownian motions.Based these,the likelihood ratio(LR)test statistic for cointegration rank is shown to be a functional of the standard Brownian motion and normal vector,asymptotically.As far as we know,our test is new in the literature.The critical values of the LR test are simulated via the Monte Carlo method.The performance of this test in finite samples is examined through Monte Carlo experiments.We apply our approach to an empirical example of three interest rates.展开更多
We firstly define the persistence and common persistence of vector GARCH process from the point of view of the integration, and then discuss the sufficient and necessary condition of the copersistence in variance. In ...We firstly define the persistence and common persistence of vector GARCH process from the point of view of the integration, and then discuss the sufficient and necessary condition of the copersistence in variance. In the end of this paper, we give the properties and the error correction model of vector GARCH process under the condition of the co-persistence.展开更多
文摘This paper studies a partially nonstationary vector autoregressive(VAR)model with vector GARCH noises.We study the full rank and the reduced rank quasi-maximum likelihood estimators(QMLE)of parameters in the model.It is shown that both QMLE of long-run parameters asymptotically converge to a functional of two correlated vector Brownian motions.Based these,the likelihood ratio(LR)test statistic for cointegration rank is shown to be a functional of the standard Brownian motion and normal vector,asymptotically.As far as we know,our test is new in the literature.The critical values of the LR test are simulated via the Monte Carlo method.The performance of this test in finite samples is examined through Monte Carlo experiments.We apply our approach to an empirical example of three interest rates.
基金National Natural Science Foundation of China(No.69874 0 2 8)
文摘We firstly define the persistence and common persistence of vector GARCH process from the point of view of the integration, and then discuss the sufficient and necessary condition of the copersistence in variance. In the end of this paper, we give the properties and the error correction model of vector GARCH process under the condition of the co-persistence.
