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

Published online by Cambridge University Press:  27 April 2012

Ke Zhu  and
Shiqing Ling
Ke Zhu
Affiliation:
Hong Kong University of Science and Technology
Shiqing Ling*
Affiliation:
Hong Kong University of Science and Technology
*
*Address correspondence to Shiqing Ling, The Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong; e-mail: maling@ust.hk.
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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.

Type
Articles
Information
Econometric Theory , Volume 28 , Issue 5 , October 2012 , pp. 1065 - 1086
Copyright
Copyright © Cambridge University Press 2012

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