TY - JOUR AU - Utami, Herni AU - -, Subanar PY - 2014/03/04 Y2 - 2024/03/29 TI - SECOND ORDER LEAST SQUARE ESTIMATION ON ARCH(1) MODEL WITH BOX-COX TRANSFORMED DEPENDENT VARIABLE JF - Journal of the Indonesian Mathematical Society JA - JIMS VL - 19 IS - 2 SE - Articles DO - 10.22342/jims.19.2.166.99-110 UR - http://jims-a.org/index.php/jimsa/article/view/166 SP - 99-110 AB - <p>Box-Cox transformation is often used to reduce heterogeneity and to achieve a symmetric distribution of response variable. In this paper, we estimate the parameters of Box-Cox transformed ARCH(1) model using second-order leastsquare method and then we study the consistency and asymptotic normality for second-order least square (SLS) estimators. The SLS estimation was introduced byWang (2003, 2004) to estimate the parameters of nonlinear regression models with independent and identically distributed errors.</p><p>DOI : <a href="http://dx.doi.org/10.22342/jims.19.2.166.99-110" target="_self">http://dx.doi.org/10.22342/jims.19.2.166.99-110</a></p> ER -