Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Regularity of Maximum Likelihood Estimation for ARCH Regression Model with Lagged Dependent Variables

  • Hwang, Sun Y. (Department of Statistics, Sookmyung Women)
  • Published : 2000.03.01
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Abstract

This article addresses the problem of maximum likelihood estimation in ARCH regression with lagged dependent variables. Some topics in asymptotics of the model such as uniform expansion of likelihood function and construction of a class of MLE are discussed, and the regularity property of MLE is obtained. The error process here is possibly non-Gaussian.

Keywords

References

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