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Econometrics Paper
Pseudo-Maximum Likelihood Estimation of ARCH(8) Models
Peter M Robinson and Paolo Zaffaroni
October 2005
Paper No' EM/2005/495:
Full Paper (pdf)

JEL Classification: Primary 62M10; secondary 62F12

Tags: arch (8); pseudo-maximum likelihood estimation; asymptotic inference

Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class of ARCH(8) processes are established. We require the ARCH weights to decay at least hyperbolically, with a faster rate needed for the central limit theorem than for the law of large numbers. Various rates are illustrated in examples of particular parameteriza- tions in which our conditions are shown to be satisfied.