Linton, Oliver - In: Econometric Theory 13 (1997) 04, pp. 558-581
We develop order <italic>T</italic><sup>−1</sup> asymptotic expansions for the quasi-maximum likelihood estimator (QMLE) and a two-step approximate QMLE in the GARCH(l,l) model. We calculate the approximate mean and skewness and, hence, the Edgeworth-B distribution function. We suggest several methods of bias reduction...