Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models
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References listed on IDEAS
- Beran, Jan, 2006. "On location estimation for LARCH processes," Journal of Multivariate Analysis, Elsevier, vol. 97(8), pages 1766-1782, September.
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More about this item
KeywordsConditional homoscedasticity testing; Inconsistent estimator; Leverage effect; Linear ARCH; Quasi-maximum likelihood; Weighted least-squares;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-05-16 (All new papers)
- NEP-ECM-2009-05-16 (Econometrics)
- NEP-ETS-2009-05-16 (Econometric Time Series)
- NEP-ORE-2009-05-16 (Operations Research)
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