Can One Really Estimate Nonstationary GARCH Models ?
Jensen and Rahbek (2004a) claim that consistency and asymptotic normality hold for the quasi-maximumlikelihood estimator (QMLE) of (!0, 0) in nonstationary ARCH(1) models. In fact their result onlyconcerns a constrained QMLE, in which the intercept is fixed, and under a reinforced nonstationaritycondition. Under this condition, we prove that the standard QMLE of 0 is strongly consistent andasymptotically normal. Numerical experiments reveal that QMLE of !0 is likely to be inconsistent.
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| Length: | 12 |
| Date of creation: | 2008 |
| Handle: | RePEc:crs:wpaper:2008-06 |
| Contact details of provider: | Postal: 15 Boulevard Gabriel Peri 92245 Malakoff Cedex Phone: 01 41 17 60 81 Web page: http://www.crest.fr More information through EDIRC
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