ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS

By S. Ling, Wai Keung Li. Econometric Theory, 2003

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Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004, background): “See also Ling and Li (2003) and Ling and McAleer (2003b) for related work.”
Estimation and testing stationarity for double‐autoregressive models (2004, methodology): “Model (1.1) is also different from the models in Ling and Li (1997, 1998, 2003) , where "t is specified as the standard GARCH model and does not directly depend on the observation yt−1.”
EMPIRICAL LIKELIHOOD FOR GARCH MODELS (2006, methodology): “…presented in the GARCH component, more powerful unit root tests based on the quasi-maximum likelihood estimator ~QMLE! can be constructed ~see Ling and Li, 1998, 2003; Seo, 1999!+ Simulation studies based on quasi-maximum likelihood estimation can be found in Seo ~1999! and Ling, Li, and…”