Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
The asymptotic distribution of the quasi-maximum likelihood (QML) estimator is established for generalized autoregressive conditional heteroskedastic (GARCH) processes, when the true parameter may have zero coefficients. This asymptotic distribution is the projection of a normal vector distribution onto a convex cone. The results are derived under mild conditions. For an important subclass of models, no moment condition is imposed on the GARCH process. The main practical implication of these results concerns the estimation of overidentified GARCH models.
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Volume (Year): 117 (2007)
Issue (Month): 9 (September)
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- Li, W K & Ling, Shiqing & McAleer, Michael, 2002. " Recent Theoretical Results for Time Series Models with GARCH Errors," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 245-69, July.
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EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
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- Berkes, István & Horváth, Lajos, 2003. "The rate of consistency of the quasi-maximum likelihood estimator," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 133-143, January.
- Nelson, Daniel B & Cao, Charles Q, 1992. "Inequality Constraints in the Univariate GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 229-35, April.
- Donald W. K. Andrews, 1999. "Estimation When a Parameter Is on a Boundary," Econometrica, Econometric Society, vol. 67(6), pages 1341-1384, November.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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