Search Results - subject:"asymptotic variance matrix"

On asymptotic properties of the QLM estimators for GARCH models

Cavicchioli, Maddalena - In: Economics Bulletin 33 (2013) 2, pp. 959-966

This note can be considered as a continuation of a nice paper from Francq and Zakoian (2012) concerning with strict stationarity testing and estimation of GARCH models. We compute the asymptotic variances of the quasi-maximum likelihood estimators for stationary GARCH models.

Persistent link: https://www.econbiz.de/10010635348

On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity

Liu, Shuangzhe; Neudecker, Heinz - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 8, pp. 2556-2565

pseudo maximum likelihood estimation method and derive a new estimator of the asymptotic variance matrix for the pseudo …

Persistent link: https://www.econbiz.de/10010749428

Testing covariance restrictions in systems of simultaneous equations with vector autoregressive errors

Bhargava, Alok - In: International economic review 30 (1989) 2, pp. 357-372

Persistent link: https://www.econbiz.de/10001074248