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Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models

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Listed:
  • Whitney K. Newey
  • Douglas G. Steigerwald

Abstract

For conditional heteroskedasticity models, the authors study the identification condition that is required for consistency of a non-Gaussian quasi-maximum-likelihood estimator. They show that, if the conditional mean is zero or if a symmetry condition is satisfied, then the identification condition is satisfied. Without symmetry, an additional parameter, for the location of the innovation density, must be added for identification. For the conditional variance parameters of a GARCH process, there is no efficiency loss from adding the parameter under symmetry, when the parameter is not needed.

Suggested Citation

  • Whitney K. Newey & Douglas G. Steigerwald, 1997. "Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models," Econometrica, Econometric Society, vol. 65(3), pages 587-600, May.
  • Handle: RePEc:ecm:emetrp:v:65:y:1997:i:3:p:587-600
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    References listed on IDEAS

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    1. Powell, James L, 1986. "Symmetrically Trimmed Least Squares Estimation for Tobit Models," Econometrica, Econometric Society, pages 1435-1460.
    2. Charles F. Manski & Elie Tamer, 2002. "Inference on Regressions with Interval Data on a Regressor or Outcome," Econometrica, Econometric Society, pages 519-546.
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    4. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, pages 1403-1430.
    5. Heckman, James J, 1978. "Dummy Endogenous Variables in a Simultaneous Equation System," Econometrica, Econometric Society, pages 931-959.
    6. Honore, Bo E, 1992. "Trimmed LAD and Least Squares Estimation of Truncated and Censored Regression Models with Fixed Effects," Econometrica, Econometric Society, pages 533-565.
    7. Vella, Francis & Verbeek, Marno, 1999. "Two-step estimation of panel data models with censored endogenous variables and selection bias," Journal of Econometrics, Elsevier, pages 239-263.
    8. Richard W. Blundell & Richard J. Smith, 1989. "Estimation in a Class of Simultaneous Equation Limited Dependent Variable Models," Review of Economic Studies, Oxford University Press, vol. 56(1), pages 37-57.
    9. James Tobin, 1956. "Estimation of Relationships for Limited Dependent Variables," Cowles Foundation Discussion Papers 3R, Cowles Foundation for Research in Economics, Yale University.
    10. Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, pages 303-325.
    11. Heckman, James J, 1978. "Dummy Endogenous Variables in a Simultaneous Equation System," Econometrica, Econometric Society, pages 931-959.
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