Inconsistency of the MLE and inference based on weighted LS for LARCH models

DOI10.1016/j.jeconom.2010.05.003zbMath1431.62372MaRDI QIDQ736696

Christian Francq, Jean-Michel Zakoian

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.05.003

zbMATH Keywords

quasi-maximum likelihood; weighted least-squares; leverage effect; conditional homoscedasticity testing; linear ARCH

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

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