Pseudo-Maximum Likelihood Estimation of ARCH(8) Models

Strong consistency and asymptotic normality of the Gaussian pseudo-maximumlikelihood estimate of the parameters in a wide class of ARCH(8) processesare 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 largenumbers. Various rates are illustrated in examples of particular parameteriza-tions in which our conditions are shown to be satisfied.

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Year of publication:	2005-10
Authors:	Robinson, Peter M ; Zaffaroni, Paolo
Institutions:	Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Subject:	ARCH(8 \| )models \| pseudo-maximum likelihoodestimation \| asymptotic inference

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Extent:	application/pdf
Series:	STICERD - Econometrics Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005310379