Second Order Least Square Estimation on Arch(1) Model with Box-cox Transformed Dependent Variable

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.19.2.166.99-11