Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA--GARCH/IGARCH models

This paper investigates the asymptotic theory of the quasi-maximum exponential likelihood estimators (QMELE) for ARMA--GARCH models. Under only a fractional moment condition, the strong consistency and the asymptotic normality of the global self-weighted QMELE are obtained. Based on this self-weighted QMELE, the local QMELE is showed to be asymptotically normal for the ARMA model with GARCH (finite variance) and IGARCH errors. A formal comparison of two estimators is given for some cases. A simulation study is carried out to assess the performance of these estimators, and a real example on the world crude oil price is given.Comment: Published in at http://dx.doi.org/10.1214/11-AOS895 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Inference for a Special Bilinear Time Series Model

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 paper studies the special bilinear model $$Y_t=\mu+\phi Y_{t-2}+ bY_{t-2}\varepsilon_{t-1}+ \varepsilon_t,$$ where $\{\varepsilon_t\}$ is a sequence of i.i.d. random variables with mean zero. We first give a sufficient condition for the existence of a unique stationary solution for the model and then propose a GARCH-type maximum likelihood estimator for estimating the unknown parameters. It is shown that the GMLE is consistent and asymptotically normal under only finite fourth moment of errors. Also a simple consistent estimator for the asymptotic covariance is provided. A simulation study confirms the good finite sample performance. Our estimation approach is novel and nonstandard and it may provide a new insight for future research in this direction.Comment: 23 pages, 1 figures, 3 table

Healing alone: how social capital reduces health care inequality, particularly in large diverse states

Since the passage of the Patient Protection and Affordable Care Act (ACA), millions of low-income Americans have gained access to publicly funded health insurance. Yet, the American states have remained critical stakeholders in the Trump era for fighting persistently high levels of inequality in access to health care. Using data from the fifty states, Ling Zhu examines trends in market-based health care inequality in the past two decades, and finds that health care inequalities are greater the more racially diverse a state, and smaller in states with higher levels of social capital

Does It Matter? A New Institutional Economics Prespective on B2B E-Commerce Adoption In Greater China and USA

Grounding on new institutional economic theory, this paper studies the impact and effect of institutional environment on Business-to-Business (B2B) e-commerce adoption in the Greater China region and USA. In a two-phase study, we find that 1) industrial pressure is always the most powerful external facilitator for B2B e-commerce adoption; 2) at the beginning stage of e-commerce, supportive government policy was a prime force to encourage private sector to adopt e-commerce; and 3) as e-commerce becomes more prevalent and routine in business, e-commerce adoption is more business-driven and governmental policy loses its influence. The study is one of the first cross-country studies on the institutional environment and fills the knowledge gap of understanding the external environment of e-commerce