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An Asymptotic Expansion in the GARCH(l, 1) Model

Published online by Cambridge University Press:  11 February 2009

Oliver Linton
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Abstract

We develop order T−1 asymptotic expansions for the quasi-maximum likelihood estimator (QMLE) and a two-step approximate QMLE in the GARCH(l,l) model. We calculate the approximate mean and skewness and, hence, the Edgeworth-B distribution function. We suggest several methods of bias reduction based on these approximations.

Type
Research Article
Information
Econometric Theory , Volume 13 , Issue 4 , February 1997 , pp. 558 - 581
Copyright
Copyright © Cambridge University Press 1997

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References

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