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Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

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  • Søren Tolver Jensen
  • Anders Rahbek

Abstract

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. Copyright The Econometric Society 2004.

Suggested Citation

  • Søren Tolver Jensen & Anders Rahbek, 2004. "Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case," Econometrica, Econometric Society, vol. 72(2), pages 641-646, March.
  • Handle: RePEc:ecm:emetrp:v:72:y:2004:i:2:p:641-646
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