Estimating the ARCH parameters by solving linear equations.

Mukherjee, Kanchan and Bose, Arup (2003) Estimating the ARCH parameters by solving linear equations. Journal of Time Series Analysis, 24 (2). pp. 127-136. ISSN 0143-9782

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Abstract

This paper discusses the asymptotics of two-stage least squares estimator of the parameters of ARCH models. The estimator is easy to obtain since it involves solving two sets of linear equations. At the same time, the estimator has the same asymptotic efficiency as that of the widely used quasi-maximum likelihood estimator. Simulation results show that, even for small sample size, the performance of our estimator compared to the quasi-maximum likelihood estimator is better.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Time Series Analysis
Additional Information:
RAE_import_type : Journal article RAE_uoa_type : Statistics and Operational Research
Uncontrolled Keywords:
/dk/atira/pure/researchoutput/libraryofcongress/qa
Subjects:
?? APPLIED MATHEMATICSSTATISTICS AND PROBABILITYSTATISTICS, PROBABILITY AND UNCERTAINTYQA MATHEMATICS ??
ID Code:
2464
Deposited By:
Deposited On:
31 Mar 2008 10:29
Refereed?:
Yes
Published?:
Published
Last Modified:
15 Sep 2023 03:51