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On the Weak Consistency of the Quasi-Maximum Likelihood Estimator in VAR Models with BEKK-GARCH(1,q) Errors

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  • BAUWENS, Luc

    (CORE, Université catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium)

  • VANDEUREN, Jean-Pierre

    (Département de Mathématiques, Université catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium)

Abstract

We provide conditions that enable to prove the weak consistency of the quasi maximum likelihood estimator of the parameters of a vector autoregressive model with GARCH(l,q) errors. The BEKK representation of Engle and Kroner (1995) is used t.o parametrize the multivariate GARCH process.

Suggested Citation

  • BAUWENS, Luc & VANDEUREN, Jean-Pierre, 1995. "On the Weak Consistency of the Quasi-Maximum Likelihood Estimator in VAR Models with BEKK-GARCH(1,q) Errors," LIDAM Discussion Papers CORE 1995038, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvco:1995038
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    Cited by:

    1. BAUWENS, Luc & DEPRINS, Dominique & VANDEUREN, Jean-Pierre, 1997. "Modelling interest rates with a cointegrated VAR-GARCH model," LIDAM Discussion Papers CORE 1997080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Emma M. Iglesias & Garry D.A. Phillips, 2004. "Multivariate Arch Models: Finite Sample Properties Of Ml Estimators And An Application To An Lm-Type Test," Working Papers. Serie AD 2004-09, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

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