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). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

PDF - Published Version
Download (354kB) | Preview


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:
Additional Information: © 2005 The Authors
Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
Date Deposited: 23 Jul 2014 14:39
Last Modified: 15 Sep 2023 22:06
Projects: R000238212, R000239936
Funders: Leverhulme Trust Personal Research Professorship, Economic and Social Research Council

Actions (login required)

View Item View Item


Downloads per month over past year

View more statistics