Lange, Theis; Rahbek, Anders; Jensen, Søren Tolver - In: Econometric Reviews 30 (2011) 2, pp. 129-153
This article studies asymptotic properties of the quasi-maximum likelihood estimator (QMLE) for the parameters in the … autoregressive (AR) model with autoregressive conditional heteroskedastic (ARCH) errors. A modified QMLE (MQMLE) is also studied …-called self-weighted QMLE in Ling (2007b). We show that the MQMLE is asymptotically normal irrespectively of the existence of …