Pseudo-maximum likelihood estimation of ARCH(∞) models

Peter M. Robinson and Paolo Zaffaroni

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: 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.

Keywords: ARCH (8); pseudo-maximum likelihood estimation; asymptotic inference; R000238212; R000239936 (search for similar items in EconPapers)
JEL-codes: J1 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2005-10
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:58182

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