Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models
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References listed on IDEAS
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More about this item
Keywords
Conditional homoscedasticity testing; Inconsistent estimator; Leverage effect; Linear ARCH; Quasi-maximum likelihood; Weighted least-squares;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2009-05-16 (Econometrics)
- NEP-ETS-2009-05-16 (Econometric Time Series)
- NEP-ORE-2009-05-16 (Operations Research)
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