On the inconsistency of the MLE in certain heteroskedastic regression models

Adrian Pagan and Hernán Sabau
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Hernán Sabau: Operadora de Bolsa

Estudios Económicos, 1991, vol. 6, issue 2, 159-172

Abstract: This paper studies the possibility of inconsistency of the maximum likelihood estimators for certain heteroskedastic regression models. These include the Poisson regression model and the ARCH models.

Date: 1991
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Persistent link: https://EconPapers.repec.org/RePEc:emx:esteco:v:6:y:1991:i:2:p:159-172

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