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Title:Parameter Estimation in Nonlinear AR-GARCH Models Author(s):MEITZ, Mika; SAIKKONEN, PenttiDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/25Abstract:This paper develops an asymptotic estimation theory for nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a functional coe cient autoregression of order p (AR(p)) with the conditional ...

Title:Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term Author(s):DEMETRESCU, Matei; LUETKEPOHL, Helmut EUI affiliated

; SAIKKONEN, PenttiDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/24Abstract:When applying Johansen's procedure for determining the coin- tegrating rank to systems of variables with linear deterministic trends, there are two possible tests to choose from. One test allows for a trend in ...