Generalized instrumental variables estimation of autoregressive conditional heteroskedastic models

Generalized instrumental variables estimation of autoregressive conditional heteroskedastic models

This paper considers an alternative to maximum likelihood (ML) estimation of the autoregressive conditional heteroskedastic (ARCH) model introduced in Engle (1982). Specifically, the analysis demonstrates that Hansen's (1982) generalized method of moments (GMM) procedure can be applied for esti...

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Veröffentlicht in:Economics letters 1991-01, Vol.35 (2), p.179-185
Hauptverfasser: Rich, Robert W., Raymond, Jennie, Butler, J.S.
Format: Artikel
Sprache:eng
Schlagworte:
Mathematical methods
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Zusammenfassung:This paper considers an alternative to maximum likelihood (ML) estimation of the autoregressive conditional heteroskedastic (ARCH) model introduced in Engle (1982). Specifically, the analysis demonstrates that Hansen's (1982) generalized method of moments (GMM) procedure can be applied for estimation of ARCH models. As an illustration, we compare the results from ML estimation and GMM estimation of Engle and Kraft's (1983) ARCH model of U.S. inflation.
ISSN:0165-1765
1873-7374
DOI:10.1016/0165-1765(91)90167-J