Bootstrapping a weighted linear estimator of the ARCH parameters
A standard assumption while deriving the asymptotic distribution of the quasi maximum likelihood estimator in ARCH models is that all ARCH parameters must be strictly positive. This assumption is also crucial in deriving the limit distribution of appropriate linear estimators (LE). We propose a weighted linear estimator (WLE) of the ARCH parameters in the classical ARCH model and show that its limit distribution is multivariate normal even when some of the ARCH coefficients are zero. The asymptotic dispersion matrix involves unknown quantities. We consider appropriate bootstrapped version of this WLE and prove that it is asymptotically valid in the sense that the bootstrapped distribution (given the data) is a consistent estimate (in probability) of the distribution of the WLE. Although we do not show theoretically that the bootstrap outperforms the normal approximation, our simulations demonstrate that it yields better approximations than the limiting normal. Copyright 2009 The Authors. Journal compilation 2009 Blackwell Publishing Ltd
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 30 (2009)
Issue (Month): 3 (May)
|Contact details of provider:|| Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782|
|Order Information:||Web: http://www.blackwellpublishing.com/subs.asp?ref=0143-9782|
When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:30:y:2009:i:3:p:315-331. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.