Pseudo-maximum likelihood estimation of ARCH(∞) models

Robinson, P. M. & Zaffaroni, P. (2005). Pseudo-maximum likelihood estimation of ARCH(∞) models. (Econometrics EM/2005/495). Suntory and Toyota International Centres for Economics and Related Disciplines.
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Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class of ARCH(∞) processes are 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 large numbers. Various rates are illustrated in examples of particular parameteriza- tions in which our conditions are shown to be satisfied.
Item Type Report (Technical Report)
Copyright holders © 2005 The Authors
Departments LSE > Academic Departments > Economics
LSE > Research Centres > STICERD
Date Deposited 23 Jul 2014
URI https://researchonline.lse.ac.uk/id/eprint/58182

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