Library Header Image
LSE Research Online LSE Library Services

Whittle estimation of ARCH models

Giraitis, Liudas and Robinson, Peter M. (2000) Whittle estimation of ARCH models. Econometrics; EM/2000/406 (EM/00/406). Suntory and Toyota International Centres for Economics and Related Disciplines, London.

PDF - Published Version
Download (720kB) | Preview


For a class of parametric ARCH models, Whittle estimation based on squared observations is shown to be inconsistent and asymptotically normal. Our conditions require the squares to have short memory autocorrelation, by comparison with the work of Zaffaroni (1999), who established the same properties on the basis of an alternative class of models with martingale difference levels and long memory autocorrelated squares.

Item Type: Monograph (Discussion Paper)
Official URL:
Additional Information: © 2000 The Authors
Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
JEL classification: C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models
Sets: Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited: 27 Apr 2007
Last Modified: 07 Feb 2021 00:21

Actions (login required)

View Item View Item


Downloads per month over past year

View more statistics