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THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS

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  • Zhu, Ke
  • Ling, Shiqing

Abstract

This paper investigates the global self-weighted least absolute deviation (SLAD) estimator for finite and infinite variance ARMA(p, q) models. The strong consistency and asymptotic normality of the global SLAD estimator are obtained. A simulation study is carried out to assess the performance of the global SLAD estimators. In this paper the asymptotic theory of the global LAD estimator for finite and infinite variance ARMA(p, q) models is established in the literature for the first time. The technique developed in this paper is not standard and can be used for other time series models.

Suggested Citation

  • Zhu, Ke & Ling, Shiqing, 2012. "THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS," Econometric Theory, Cambridge University Press, vol. 28(5), pages 1065-1086, October.
    • Handle: RePEc:cup:etheor:v:28:y:2012:i:05:p:1065-1086_00
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    Citations

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    Cited by:

    1. Ke Zhu & Shiqing Ling, 2015. "LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(510), pages 784-794, June.
    2. Ke Zhu, 2018. "Statistical inference for autoregressive models under heteroscedasticity of unknown form," Papers 1804.02348, arXiv.org, revised Aug 2018.
    3. Zhu, Ke & Ling, Shiqing, 2013. "Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models," MPRA Paper 51509, University Library of Munich, Germany.
    4. Zhang, Xingfa & Zhang, Rongmao & Li, Yuan & Ling, Shiqing, 2022. "LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise," Journal of Econometrics, Elsevier, vol. 227(1), pages 228-240.
    5. Yang, Yaxing & Ling, Shiqing & Wang, Qiying, 2022. "Consistency of global LSE for MA(1) models," Statistics & Probability Letters, Elsevier, vol. 182(C).
    6. Zhu, Ke & Li, Wai Keung, 2015. "A bootstrapped spectral test for adequacy in weak ARMA models," Journal of Econometrics, Elsevier, vol. 187(1), pages 113-130.
    7. Yang, Yaxing & Ling, Shiqing, 2017. "Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 197(2), pages 368-381.

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