Robinson, Peter M. and Zafaroni, Paolo (2005) Pseudo-maximum likelihood estimation of ARCH models. EM/05/495. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, 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)|
|Additional Information:||© 2005 the authors|
|Uncontrolled Keywords:||ARCH(1) models, pseudo-maximum likelihood estimation, asymptotic inference|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory|
|Sets:||Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
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