SECOND ORDER LEAST SQUARE ESTIMATION ON ARCH(1) MODEL WITH BOX-COX TRANSFORMED DEPENDENT VARIABLE

Herni Utami, Subanar -

Abstract


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.

DOI : http://dx.doi.org/10.22342/jims.19.2.166.99-110


Keywords


Box-Cox transformation; second-order least square; ARCH model

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DOI: https://doi.org/10.22342/jims.19.2.166.99-110

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Journal of the Indonesian Mathematical Society
Mathematics Department, Universitas Gadjah Mada
Senolowo, Sinduadi, Mlati, Sleman Regency, Special Region of Yogyakarta 55281, Telp. (0274) 552243
Email: jims.indoms@gmail.com


p-ISSN: 2086-8952 | e-ISSN: 2460-0245


Journal of the Indonesian Mathematical Society is licensed under a Creative Commons Attribution 4.0 International License

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