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

Paolo Zaffaroni and Peter M. Robinson

No 326, Econometric Society 2004 North American Summer Meetings from Econometric Society

Abstract: 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.

Keywords: ARCH($\infty$) models; pseudo-maximum likelihood estimation; asymptotic inference. (search for similar items in EconPapers)
JEL-codes: C13 C22 (search for similar items in EconPapers)
Date: 2004-08-11

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Persistent link: http://EconPapers.repec.org/RePEc:ecm:nasm04:326

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