Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity
AbstractWe consider maximum likelihood estimation of a particular noninvertible ARMA model with autoregressive conditionally heteroskedastic (ARCH) errors. The model can be seen as an extension to the so-called all-pass models in that it allows for autocorrelation and for more flexible forms of conditional heteroskedasticity. These features may be attractive especially in economic and financial applications. Unlike in previous literature on maximum likelihood estimation of noncausal and/or noninvertible ARMA models and all-pass models, our estimation theory does allow for Gaussian innovations. We give conditions under which a strongly consistent and asymptotically normally distributed solution to the likelihood equations exists, and we also provide a consistent estimator of the limiting covariance matrix.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 114 (2013)
Issue (Month): C ()
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Other versions of this item:
- Mika Meitz & Pentti Saikkonen, 2012. "Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity," KoÃ§ University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 1226, Koc University-TUSIAD Economic Research Forum.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Mika Meitz & Pentti Saikkonen, 2008.
"Parameter estimation in nonlinear AR-GARCH models,"
Economics Series Working Papers
396, University of Oxford, Department of Economics.
- Mika Meitz & Pentti Saikkonen, 2010. "Parameter estimation in nonlinear ARâ€“GARCH models," KoÃ§ University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 1002, Koc University-TUSIAD Economic Research Forum.
- Mika Meitz & Pentti Saikkonen, 2008. "Parameter Estimation in Nonlinear AR-GARCH Models," Economics Working Papers, European University Institute ECO2008/25, European University Institute.
- Mika Meitz & Pentti Saikkonen, 2008. "Parameter estimation in nonlinear AR-GARCH models," CREATES Research Papers 2008-30, School of Economics and Management, University of Aarhus.
- Lanne, Markku & Luoto, Jani & Saikkonen, Pentti, 2012.
"Optimal forecasting of noncausal autoregressive time series,"
International Journal of Forecasting, Elsevier,
Elsevier, vol. 28(3), pages 623-631.
- Lanne, Markku & Luoto, Jani & Saikkonen, Pentti, 2010. "Optimal Forecasting of Noncausal Autoregressive Time Series," MPRA Paper 23648, University Library of Munich, Germany.
- Markku Lanne & Mika Meitz & Pentti Saikkonen, 2012.
"Testing for Predictability in a Noninvertible ARMA Model,"
KoÃ§ University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum
1225, Koc University-TUSIAD Economic Research Forum.
- Lanne, Markku & Meitz, Mika & Saikkonen, Pentti, 2012. "Testing for predictability in a noninvertible ARMA model," MPRA Paper 37151, University Library of Munich, Germany.
- Saikkonen, Pentti & Sandberg , Rickard, 2013. "Testing for a unit root in noncausal autoregressive models," Research Discussion Papers 26/2013, Bank of Finland.
- Gospodinov, Nikolay & Ng, Serena, 2013. "Minimum distance estimation of possibly non-invertible moving average models," Working Paper, Federal Reserve Bank of Atlanta 2013-11, Federal Reserve Bank of Atlanta.
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