Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If you need an accessible version of this item please contact JSTOR User Support

Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models

Whitney K. Newey and Douglas G. Steigerwald
Econometrica
Vol. 65, No. 3 (May, 1997), pp. 587-599
Published by: The Econometric Society
DOI: 10.2307/2171754
Stable URL: http://www.jstor.org/stable/2171754
Page Count: 13
  • Get Access
  • Read Online (Free)
  • Download ($10.00)
  • Cite this Item
If you need an accessible version of this item please contact JSTOR User Support
Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
Preview not available

Abstract

Virtually all applications of time-varying conditional variance models use a quasi-maximum-likelihood estimator (QMLE). Consistency of a QMLE requires an identification condition that the quasi-log-likelihood have a unique maximum at the true conditional mean and relative scale parameters. We show that the identification condition holds for a non-Gaussian QMLE if the conditional mean is identically zero or if a symmetry condition is satisfied. Without symmetry, an additional parameter, for the location of the innovation density, must be added for identification. We calculate the efficiency loss from adding such a parameter under symmetry, when the parameter is not needed. We also show that there is no efficiency loss for the conditional variance parameters of a GARCH process.

Page Thumbnails

  • Thumbnail: Page 
587
    587
  • Thumbnail: Page 
588
    588
  • Thumbnail: Page 
589
    589
  • Thumbnail: Page 
590
    590
  • Thumbnail: Page 
591
    591
  • Thumbnail: Page 
592
    592
  • Thumbnail: Page 
593
    593
  • Thumbnail: Page 
594
    594
  • Thumbnail: Page 
595
    595
  • Thumbnail: Page 
596
    596
  • Thumbnail: Page 
597
    597
  • Thumbnail: Page 
598
    598
  • Thumbnail: Page 
599
    599