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The Profile Likelihood Estimation for Single-Index ARCH(p)-M Model

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  • Qiang Xiong
  • Yuan Li
  • XingFa Zhang

Abstract

We propose a class of single-index ARCH(p)-M models and investigate estimators of the parametric and nonparametric components. We first estimate the nonparametric component using local linear smoothing technique and then construct an estimator of parametric component by using profile quasimaximum likelihood method. Under regularity conditions, the asymptotic properties of our estimators are established.

Suggested Citation

  • Qiang Xiong & Yuan Li & XingFa Zhang, 2014. "The Profile Likelihood Estimation for Single-Index ARCH(p)-M Model," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-17, February.
    • Handle: RePEc:hin:jnlmpe:189426
    DOI: 10.1155/2014/189426
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