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Pseudo-maximum likelihood estimation of ARCH models

Robinson, Peter M. and Zafaroni, Paolo (2005) Pseudo-maximum likelihood estimation of ARCH models. . Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

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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.

Item Type: Monograph (Discussion Paper)
Official URL:
Additional Information: © 2005 the authors
Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
Date Deposited: 28 Apr 2008 16:34
Last Modified: 16 May 2024 11:37

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