Asymptotic Theory for ARCH Models: Estimation and Testing

Abstract

In the context of a linear dynamic model with moving average errors, we consider a heteroscedastic model which represents an extension of the ARCH model introduced by Engle [4]. We discuss the properties of maximum likelihood and least squares estimates of the parameters of both the regression and ARCH equations, and also the properties of various tests of the model that are available. We do not assume that the errors are normally distributed.

Cite this

Unknown author (1986). Asymptotic Theory for ARCH Models: Estimation and Testing. Econometric Theory. https://doi.org/10.1017/s0266466600011397

@article{anon1986asymptotic,
  title  = {Asymptotic Theory for ARCH Models: Estimation and Testing},
  author = {Unknown},
  year   = {1986},
  journal = {Econometric Theory},
  doi    = {10.1017/s0266466600011397}
}

Citations in this library

Stored only when both papers are in the corpus — 520 citations exist upstream.

References

Cited by