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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.

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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: Article
Journal or Publication Title: Journal of Time Series Analysis
Additional Information: RAE_import_type : Journal article RAE_uoa_type : Statistics and Operational Research
Subjects: Q Science > QA Mathematics
Departments: Faculty of Science and Technology > Mathematics and Statistics
ID Code: 2464
Deposited By: ep_importer
Deposited On: 31 Mar 2008 11:29
Refereed?: Yes
Published?: Published
Last Modified: 09 Oct 2013 15:41
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/2464

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