CIRJE-F-670 "A General Asymptotic Theory for Time Series Models"
Author Name Ling, Shiqing and Michael McAleer
Date September 2009
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Remarks @Subsequently published in Statistics Neerlandica.@

This paper develops a general asymptotic theory for the estimation of strictly stationary and ergodic time series models. Under simple conditions that are straightforward to check, we establish the strong consistency, the rate of strong convergence and the asymptotic normality of a general class of estimators that includes LSE, MLE, and some M-type estimators. As an application, we verify the assumptions for the long-memory fractional ARIMA model. Other examples include the GARCH(1,1) model, random coefficient AR(1) model and the threshold MA(1) model.