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Bootstrap refinements for QML estimators of the GARCH(1,1) parameters

Corradi, V and Iglesias, EM (2008) Bootstrap refinements for QML estimators of the GARCH(1,1) parameters Journal of Econometrics, 144 (2). pp. 500-510.

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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 Gonçalves 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(1,1) 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]. © 2008 Elsevier B.V. All rights reserved.

Item Type: Article
Authors :
NameEmailORCID
Corradi, Vv.corradi@surrey.ac.ukUNSPECIFIED
Iglesias, EMUNSPECIFIEDUNSPECIFIED
Date : 1 June 2008
Identification Number : 10.1016/j.jeconom.2008.03.003
Depositing User : Symplectic Elements
Date Deposited : 16 May 2017 15:27
Last Modified : 17 May 2017 14:35
URI: http://epubs.surrey.ac.uk/id/eprint/819746

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