We establish consistency and asymptotic normality of the quasi‐maximum likelihood estimator in the linear ARCH model. Contrary to the existing literature, we allow the parameters to be in the region where no stationary version of the process exists. This implies that the estimator is always asymptotically normal.
MLA
Jensen, Søren Tolver, and Anders Rahbek. “Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case.” Econometrica, vol. 72, .no 2, Econometric Society, 2004, pp. 641-646, https://doi.org/10.1111/j.1468-0262.2004.00504.x
Chicago
Jensen, Søren Tolver, and Anders Rahbek. “Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case.” Econometrica, 72, .no 2, (Econometric Society: 2004), 641-646. https://doi.org/10.1111/j.1468-0262.2004.00504.x
APA
Jensen, S. T., & Rahbek, A. (2004). Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case. Econometrica, 72(2), 641-646. https://doi.org/10.1111/j.1468-0262.2004.00504.x
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