Asymptotic normality of the QMLE estimator of arch in the nonstationary case

• 成果类型: Article
• 署名作者: Jensen, ST; Rahbek, A
• 署名单位: University of Copenhagen
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.1111/j.1468-0262.2004.00504.x
• 发表日期: 2004
• 页码: 641-646
• 关键词: MAXIMUM LIKELIHOOD ESTIMATOR; stationarity

摘要

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.