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.
|
PDF
- Published Version
Download (345Kb) | 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 (Technical Report) |
|---|---|
| Official URL: | http://sticerd.lse.ac.uk/ |
| Additional Information: | © 2005 The Authors |
| Library of Congress subject classification: | H Social Sciences > HB Economic Theory |
| Sets: | Departments > Economics Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD) |
| Identification Number: | EM/2005/495 |
| Funders: | Leverhulme Trust Personal Research Professorship, Economic and Social Research Council (ESRC) |
| Projects: | R000238212, R000239936 |
| Date Deposited: | 23 Jul 2014 14:39 |
| URL: | http://eprints.lse.ac.uk/58182/ |
Actions (login required)
 |
Record administration - authorised staff only |
Download statistics
Download statistics