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Higher-order asymptotic properties of QML in [beta]-ARCH and [mu]-ARCH models

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  • Iglesias, Emma M.

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  • Iglesias, Emma M., 2006. "Higher-order asymptotic properties of QML in [beta]-ARCH and [mu]-ARCH models," Economics Letters, Elsevier, vol. 93(2), pages 261-266, November.
    • Handle: RePEc:eee:ecolet:v:93:y:2006:i:2:p:261-266
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    1. Beg, A B M Rabiul A & Silvapulle, Mervyn J & Silvapulle, Paramsothy, 2001. "Tests Against Inequality Constraints When Some Nuisance Parameters Are Present Only under the Alternative: Test of ARCH in ARCH-M Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 245-253, April.
    2. Kristensen, Dennis & Rahbek, Anders, 2005. "ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS," Econometric Theory, Cambridge University Press, vol. 21(5), pages 946-961, October.
    3. Furno, Marilena, 2000. "Lm Tests In The Presence Of Non-Normal Error Distributions," Econometric Theory, Cambridge University Press, vol. 16(2), pages 249-261, April.
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