Corradi, Valentina and Iglesias, Emma M.. (2008) Bootstrap refinements for QML estimators of the GARCH(1,1) parameters. Journal of Econometrics, Vol.144 (No.2). pp. 500-510. ISSN 0304-4076

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Abstract

This paper reconsiders a block bootstrap procedure for Quasi Maximum Likelihood estimation of GARCH models, based on the resampling of the likelihood function, as proposed by Goncalves and White [2004. Maximum likelihood and the bootstrap for nonlinear dynamic models. journal of Econometrics 119, 199-219]. First, we provide necessary conditions and sufficient conditions, in terms of moments of the innovation process, for the existence of the Edgeworth expansion of the GARCH(l,l) estimator, up to the k-th term. Second, we provide sufficient conditions for higher order refinements for equally tailed and symmetric test statistics. in particular, the bootstrap estimator based on resampling the likelihood has the same higher order improvements in terms of error in the rejection probabilities as those in Andrews [2002. Higher-order improvements of a computationally attractive k-step bootstrap for extremum estimators. Econometrica. 70, 119-162]. (C) 2008 Elsevier B.V. All rights reserved.

Item Type:	Journal Article
Subjects:	H Social Sciences > HB Economic Theory Q Science > QA Mathematics
Divisions:	Faculty of Social Sciences > Economics
Library of Congress Subject Headings (LCSH):	Bootstrap (Statistics), Edgeworth expansions, Econometrics, GARCH model
Journal or Publication Title:	Journal of Econometrics
Publisher:	Elsevier BV
ISSN:	0304-4076
Date:	June 2008
Volume:	Vol.144
Number:	No.2
Number of Pages:	11
Page Range:	pp. 500-510
Identification Number:	10.1016/j.jeconom.2008.03.003
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
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URI:	http://wrap.warwick.ac.uk/id/eprint/29627

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