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The ARCH(2) model: Pseudo-maximum estimation and asymptotic results under dependent innovations |
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| Authors: | Eugene Kouassi Patrice Takam Soh Morvan N. Donfack Jean Marcelin B. Bosson |
| Affiliation: | 1. Resource Economics, West Virginia University, Morgantown, WV, USA;2. Department of Mathematics, University of Montpellier 2, Montpellier, France;3. Department of Economics, University of Laval, Quebec City, Qc, Canada;4. Department of Economics, University Felix Houphouet Boigny (FHB), Abidjan – Cocody, Cote d'Ivoire |
| Abstract: | This paper investigates the pseudo-maximum likelihood (PML) estimation of an ARCH(2) model when the innovations' law belongs to the quadratic exponential family. In addition, the error terms are conditionally independent, but not necessarily dependent. The consistency and asymptotic normality of the PML estimator are obtained by means of martingale techniques. |
| Keywords: | ARCH(2) model Asymptotic Normality Consistency Dependent innovations Pseudo-maximum likelihood Estimation Quadratic exponential families |