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Bootstrap refinements for QML estimators of the GARCH(1,1) parameters
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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. doi:10.1016/j.jeconom.2008.03.003 ISSN 0304-4076.
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Official URL: http://dx.doi.org/10.1016/j.jeconom.2008.03.003
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 | ||||
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Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
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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 | ||||
Official Date: | June 2008 | ||||
Dates: |
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Volume: | Vol.144 | ||||
Number: | No.2 | ||||
Number of Pages: | 11 | ||||
Page Range: | pp. 500-510 | ||||
DOI: | 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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