Inference for a Special Bilinear Time‐Series Model

6 Pages Posted: 30 Dec 2014

See all articles by Shiqing Ling

Shiqing Ling

Hong Kong University of Science & Technology (HKUST) - Department of Mathematics

Liang Peng

Georgia State University - Risk Management & Insurance Department

Fukang Zhu

Jilin University-Lambton College (JULC)

Date Written: January 2015

Abstract

It is well known that estimating bilinear models is quite challenging. Many different ideas have been proposed to solve this problem. However, there is not a simple way to do inference even for its simple cases. This article proposes a generalized autoregressive conditional heteroskedasticity‐type maximum likelihood estimator for estimating the unknown parameters for a special bilinear model. It is shown that the proposed estimator is consistent and asymptotically normal under only finite fourth moment of errors.

Keywords: Asymptotic distribution, bilinear model, LSE, MLE. JEL. Primary C12

JEL Classification: C13, C22

Suggested Citation

Ling, Shiqing and Peng, Liang and Zhu, Fukang, Inference for a Special Bilinear Time‐Series Model (January 2015). Journal of Time Series Analysis, Vol. 36, Issue 1, pp. 61-66, 2015. Available at SSRN: https://ssrn.com/abstract=2543844 or http://dx.doi.org/10.1111/jtsa.12092

Shiqing Ling (Contact Author)

Hong Kong University of Science & Technology (HKUST) - Department of Mathematics

Rm. 3461, Lift 25-26
Clear Water Bay
Kowloon
Hong Kong

Liang Peng

Georgia State University - Risk Management & Insurance Department

P.O. Box 4036
Atlanta, GA 30302-4036
United States

Fukang Zhu

Jilin University-Lambton College (JULC) ( email )

Changchun, Jilin Province 130012
China

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