Pseudo-Maximum Likelihood Estimation of ARCH(8) Models

Peter M Robinson and Paolo Zaffaroni

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

Abstract: Strong consistency and asymptotic normality of the Gaussian pseudo-maximumlikelihood estimate of the parameters in a wide class of ARCH(8) processesare 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 largenumbers. Various rates are illustrated in examples of particular parameteriza-tions in which our conditions are shown to be satisfied.

Keywords: ARCH(8; )models; pseudo-maximum likelihoodestimation; asymptotic inference (search for similar items in EconPapers)
Date: 2005-10
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:495

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