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.
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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(∞) 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 |
| Date Deposited: | 23 Jul 2014 14:39 |
| Last Modified: | 13 Sep 2024 16:33 |
| Projects: | R000238212, R000239936 |
| Funders: | Leverhulme Trust Personal Research Professorship, Economic and Social Research Council |
| URI: | http://eprints.lse.ac.uk/id/eprint/58182 |
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