Generalized instrumental variables estimation of autoregressive conditional heteroskedastic models

Robert W. Rich; Jennie Raymond; J. S. Butler

doi:10.1016/0165-1765(91)90167-J

Generalized instrumental variables estimation of autoregressive conditional heteroskedastic models

Robert W. Rich, Jennie Raymond, J. S. Butler

Research output: Contribution to journal › Article › peer-review

18 Scopus citations

Abstract

This paper considers an alternative to maximum likelihood (ML) estimation of the autoregressive conditional heteroskedastic (ARCH) model introduced in Engle (1982). Specifically, the analysis demonstrates that Hansen's (1982) generalized method of moments (GMM) procedure can be applied for estimation of ARCH models. As an illustration, we compare the results from ML estimation and GMM estimation of Engle and Kraft's (1983) ARCH model of U.S. inflation.

Original language	English
Pages (from-to)	179-185
Number of pages	7
Journal	Economics Letters
Volume	35
Issue number	2
DOIs	https://doi.org/10.1016/0165-1765(91)90167-J
State	Published - Feb 1991

ASJC Scopus subject areas

Finance
Economics and Econometrics

Access to Document

10.1016/0165-1765(91)90167-J

Cite this

@article{e4059df2c0df47fbace1a4ff427fd013,

title = "Generalized instrumental variables estimation of autoregressive conditional heteroskedastic models",

abstract = "This paper considers an alternative to maximum likelihood (ML) estimation of the autoregressive conditional heteroskedastic (ARCH) model introduced in Engle (1982). Specifically, the analysis demonstrates that Hansen's (1982) generalized method of moments (GMM) procedure can be applied for estimation of ARCH models. As an illustration, we compare the results from ML estimation and GMM estimation of Engle and Kraft's (1983) ARCH model of U.S. inflation.",

author = "Rich, {Robert W.} and Jennie Raymond and Butler, {J. S.}",

year = "1991",

month = feb,

doi = "10.1016/0165-1765(91)90167-J",

language = "English",

volume = "35",

pages = "179--185",

number = "2",

}

TY - JOUR

T1 - Generalized instrumental variables estimation of autoregressive conditional heteroskedastic models

AU - Rich, Robert W.

AU - Raymond, Jennie

AU - Butler, J. S.

PY - 1991/2

Y1 - 1991/2

N2 - This paper considers an alternative to maximum likelihood (ML) estimation of the autoregressive conditional heteroskedastic (ARCH) model introduced in Engle (1982). Specifically, the analysis demonstrates that Hansen's (1982) generalized method of moments (GMM) procedure can be applied for estimation of ARCH models. As an illustration, we compare the results from ML estimation and GMM estimation of Engle and Kraft's (1983) ARCH model of U.S. inflation.

AB - This paper considers an alternative to maximum likelihood (ML) estimation of the autoregressive conditional heteroskedastic (ARCH) model introduced in Engle (1982). Specifically, the analysis demonstrates that Hansen's (1982) generalized method of moments (GMM) procedure can be applied for estimation of ARCH models. As an illustration, we compare the results from ML estimation and GMM estimation of Engle and Kraft's (1983) ARCH model of U.S. inflation.

UR - http://www.scopus.com/inward/record.url?scp=0011451376&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0011451376&partnerID=8YFLogxK

U2 - 10.1016/0165-1765(91)90167-J

DO - 10.1016/0165-1765(91)90167-J

M3 - Article

AN - SCOPUS:0011451376

SN - 0165-1765

VL - 35

SP - 179

EP - 185

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

Generalized instrumental variables estimation of autoregressive conditional heteroskedastic models

Abstract

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this