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Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
Author(s) -
Jensen Søren Tolver,
Rahbek Anders
Publication year - 2004
Publication title -
econometrica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 16.7
H-Index - 199
eISSN - 1468-0262
pISSN - 0012-9682
DOI - 10.1111/j.1468-0262.2004.00504.x
Subject(s) - asymptotic distribution , estimator , mathematics , consistency (knowledge bases) , normality , arch , strong consistency , local asymptotic normality , consistent estimator , statistics , econometrics , minimum variance unbiased estimator , discrete mathematics , engineering , civil engineering
We establish consistency and asymptotic normality of the quasi‐maximum likelihood estimator in the linear ARCH model. Contrary to the existing literature, we allow the parameters to be in the region where no stationary version of the process exists. This implies that the estimator is always asymptotically normal.