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Pseudo-maximum likelihood estimation of ARCH models

By Peter M. Robinson and Paolo Zafaroni

Abstract

Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class of ARCH(1) processes are established. We require the ARCH weights to decay at least hyperbolically, with a faster rate needed for the central limit theorem than for the law of large numbers. Various rates are illustrated in examples of particular parameteriza- tions in which our conditions are shown to be satis ed

Topics: HB Economic Theory
Publisher: Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science
Year: 2005
OAI identifier: oai:eprints.lse.ac.uk:4544
Provided by: LSE Research Online

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