Cookies?
Library Header Image
LSE Research Online LSE Library Services

Pseudo-maximum likelihood estimation of ARCH(∞) models

Robinson, Peter M. and Zaffaroni, Paolo (2005) Pseudo-maximum likelihood estimation of ARCH(∞) models. Econometrics (EM/2005/495). The London School of Economics and Political Science, Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

[img]
Preview
PDF - Published Version
Download (354kB) | Preview

Abstract

Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class of ARCH(∞) 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 satisfied.

Item Type: Monograph (Report)
Official URL: http://sticerd.lse.ac.uk/
Additional Information: © 2005 The Authors
Divisions: Economics
STICERD
Subjects: H Social Sciences > HB Economic Theory
Sets: Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited: 23 Jul 2014 14:39
Last Modified: 14 Mar 2019 00:02
Projects: R000238212, R000239936
Funders: Leverhulme Trust Personal Research Professorship, Economic and Social Research Council
URI: http://eprints.lse.ac.uk/id/eprint/58182

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics