On the threshold innovation in quasi-likelihood for conditionally heteroscedastic time series
- Authors
- Yoon, Jae Eun; Hwang, Sun Young
- Issue Date
- Jul-2021
- Publisher
- TAYLOR & FRANCIS INC
- Keywords
- ARCH; Asymmetric errors; Quasi-likelihood; Threshold-innovation
- Citation
- COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, v.50, no.7, pp 2042 - 2053
- Pages
- 12
- Journal Title
- COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
- Volume
- 50
- Number
- 7
- Start Page
- 2042
- End Page
- 2053
- URI
- https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/2421
- DOI
- 10.1080/03610918.2019.1593453
- ISSN
- 0361-0918
1532-4141
- Abstract
- This work considers conditionally heteroscedastic time series with possibly asymmetric errors (e.g., skewed t-distributions). Suppose that the error distribution is unknown and estimating functions, so called quasi-likelihood (QL) scores are employed to estimate parameters. The quasi-likelihood can be regarded as a special case of the Godambe's optimum estimating functions (see, e.g., Hwang and Basawa (2011)). To capture asymmetry in errors, a threshold-innovation is newly suggested to construct an "optimum" quasi likelihood score. It is shown that the threshold innovation is "better" than the standard innovation especially when errors are asymmetrically distributed. A simulation study is reported and a real data analysis is illustrated.
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