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Econometrica Vol. 72 No. 2 2004

Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

Søren Tolver Jensen1,2,3,4; Anders Rahbek1,2,3,4

1 University of Copenhagen · 2 Statistics Denmark · 3 University College Copenhagen · 4 IT University of Copenhagen

Abstract

We establish consistency and asymptotic normality of the quasi-maximum likelihood estimator in the linear ARCH model. Contrary to the existing literature, we allow the parameters to be in the region where no stationary version of the process exists. This implies that the estimator is always asymptotically normal.

DOI
10.1111/j.1468-0262.2004.00504.x
Volume
72
Issue
2
Pages
641-646
Language
en
Sources
bibtex:phds-export.bib openalex crossref

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