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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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.
| Item Type: | Monograph (Discussion Paper) |
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| Official URL: | http://sticerd.lse.ac.uk |
| Additional Information: | © 2005 the authors |
| 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) |
| Identification Number: | EM/05/495 |
| Date Deposited: | 28 Apr 2008 16:34 |
| URL: | http://eprints.lse.ac.uk/4544/ |
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