Whittle Estimation of ARCH Models

Liudas Giraitis and Peter M. Robinson

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: 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.

Keywords: ARCH models; Whittle estimation. (search for similar items in EconPapers)
Date: 2000-11
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Persistent link: http://EconPapers.repec.org/RePEc:cep:stiecm:/2000/406

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