Efficient Quasi-likelihood Estimation for Nonlinear Time Series Models and Its Application Kim, Sahmyeong; Cha, Kyungyup; Lee, Sungduck;
Quasi likelihood estimators defined by Wedderburn are derived for several nonlinear time series models. And also, the least squared estimator and Quasi-likelihood estimator are compared in sense of asymptotic relative efficiency at those models. Finally, we apply these estimations to a real data on exchanging rate and stock market prices.
Quasi likelihood estimator;Random Coefficient Autoregressive model;ARCH model;Asymptotic relative efficiency;