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

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10.1016/0165-1765(91)90167-J

Cite this

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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.",

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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.

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JO - Economics Letters

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Generalized instrumental variables estimation of autoregressive conditional heteroskedastic models

Abstract

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