On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity |
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Authors: | Shuangzhe Liu Heinz Neudecker |
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Affiliation: | 1. School of Information Sciences and Engineering, University of Canberra, Canberra, ACT 2601, Australia;2. School of Economics and Business, University of Amsterdam, Roetersstraat 11, 1018 WB Amsterdam, The Netherlands |
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Abstract: | We consider a general multivariate conditional heteroskedastic model under a conditional distribution that is not necessarily normal. This model contains autoregressive conditional heteroskedastic (ARCH) models as a special class. We use the pseudo maximum likelihood estimation method and derive a new estimator of the asymptotic variance matrix for the pseudo maximum likelihood estimator. We also study four special cases in this class, which are conditional heteroskedastic autoregressive moving-average models, regression models with ARCH errors, models with constant conditional correlations, and ARCH in mean models. |
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Keywords: | C13 C32 |
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