EconPapers    
Economics at your fingertips  
 

Consistent non-Gaussian pseudo maximum likelihood estimators

Gabriele Fiorentini () and Enrique Sentana ()

Working Paper series from Rimini Centre for Economic Analysis

Abstract: We characterise the mean and variance parameters that distributionally misspecified maximum likelihood estimators can consistently estimate in multivariate conditionally heteroskedastic dynamic regression models. We also provide simple closed-form consistent estimators for the rest. The inclusion of means and the explicit coverage of multivariate models make our procedures useful not only for GARCH models but also in many empirically relevant macro and finance applications involving Vars and multivariate regressions. We study the statistical properties of our proposed consistent estimators, as well as their efficiency relative to Gaussian pseudo maximum likelihood procedures. Finally, we provide finite sample results through Monte Carlo simulations.

Keywords: Consistency; Efficiency; Misspecification (search for similar items in EconPapers)
JEL-codes: C13 C22 C32 C51 (search for similar items in EconPapers)
Date: 2018-02
New Economics Papers: this item is included in nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
http://rcea.org/RePEc/pdf/wp18-06.pdf

Related works:
Journal Article: Consistent non-Gaussian pseudo maximum likelihood estimators (2019) Downloads
Working Paper: Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators (2018) Downloads
Working Paper: Consistent non-Gaussian pseudo maximum likelihood estimators (2018) Downloads
Working Paper: Consistent non-Gaussian pseudo maximum likelihood estimators (2018) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:18-06

Access Statistics for this paper

More papers in Working Paper series from Rimini Centre for Economic Analysis Contact information at EDIRC.
Bibliographic data for series maintained by Marco Savioli ().

 
Page updated 2021-03-03
Handle: RePEc:rim:rimwps:18-06