An Asymptotic Expansion in the Garch(1,1) Model

We develop order T^{-1} asymptotic expansions for the quasi-maximum likelihood estimator (QMLE) and a two step approximate QMLE in the GARCH(1,1) model. We calculate the approximate mean and skewness and hence the Edgeworth-B distribution function. We suggest several methods of bias reduction based on these approximation.

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Year of publication:	1996-03
Authors:	Linton, Oliver
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	ARCH \| quasi-likelihood \| asymptotic expansions \| bias reduction

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in Econometric Theory (1997), 13: 558-581 The price is None Number 1118 35 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005762517