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Inference for the panel ARMA-GARCH model when both $N$ and $T$ are largeInference for the panel ARMA-GARCH model when both $N$ and $T$ are large

Bing Su · Ke Zhu首次提交 2024-04-29 · 修订 2024-04-29 · v1arXiv预印本

个体数与时间长度均较大时的面板 ARMA-GARCH 模型推断AI 解读

We propose a panel ARMA-GARCH model to capture the dynamics of large panel data with $N$ individuals over $T$ time periods. For this model, we provide a two-step estimation procedure to estimate the ARMA parameters and GARCH parameters stepwisely. Under some regular conditions, we show that all of the proposed estimators are asymptotically normal with the convergence rate $(NT)^{-1/2}$ , and they have the asymptotic biases when both $N$ and $T$ diverge to infinity at the same…We propose a panel ARMA-GARCH model to capture the dynamics of large panel data with $N$ individuals over $T$ time periods. For this model, we provide a two-step estimation procedure to estimate the ARMA parameters and GARCH parameters stepwisely. Under some regular conditions, we show that all of the proposed estimators are asymptotically normal with the convergence rate $(NT)^{-1/2}$, and they have the asymptotic biases when both $N$ and $T$ diverge to infinity at the same…

微观 · 面板数据宏观 · 时间序列

关联记录被引 0 次 ↗OpenAlex · 核验 2026-09-30

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Inference for the panel ARMA-GARCH model when both NNN and TTT are largeInference for the panel ARMA-GARCH model when both $N$ and $T$ are large

Inference for the panel ARMA-GARCH model when both $N$ and $T$ are largeInference for the panel ARMA-GARCH model when both $N$ and $T$ are large