Whittle Estimation of ARCH Models

For a class of parametric ARCH models, Whittle estimation based on squared observations is shown to be inconsistent and asymptotically normal. Our conditions require the squares to have short memory autocorrelation, by comparison with the work of Zaffaroni (1999), who established the same properties on the basis of an alternative class of models with martingale difference levels and long memory autocorrelated squares.

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Year of publication:	2000-11
Authors:	Giraitis, Liudas ; Robinson, Peter M
Institutions:	Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Subject:	ARCH models \| Whittle estimation

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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/10005310356