PSEUDO-MAXIMUM LIKELIHOOD ESTIMATION OF ARCH($ \infty $) MODELS

Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class of ARCH($ \infty $) processes are established. The conditions are shown to hold in case of exponential and hyperbolic decay in the ARCH weights, though in the latter case a faster decay rate is required for the central limit theorem than for the law of large numbers. Particular parameterizations are discussed.

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Year of publication:	2004-08-11
Authors:	Zaffaroni, Paolo ; Robinson, Peter M.
Institutions:	Econometric Society
Subject:	ARCH($\infty$) models \| pseudo-maximum likelihood estimation \| asymptotic inference

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Series:	Econometric Society 2004 North American Summer Meetings.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Econometric Society North American Summer Meetings 2004 Number 326
Classification:	C13 - Estimation ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005702608