Document Type

Journal Article

Department/Unit

Department of Economics

Abstract

It is well known that moment matrices play a very important rôle in econometrics and statistics. Liu and Heyde (Stat Pap 49:455–469, 2008) give exact expressions for two-moment matrices, including the Hessian for ARCH models under elliptical distributions. In this paper, we extend the theory by establishing two additional moment matrices for conditional heteroskedastic models under elliptical distributions. The moment matrices established in this paper implement the maximum likelihood estimation by some estimation algorithms like the scoring method. We illustrate the applicability of the additional moment matrices established in this paper by applying them to establish an AR-ARCH model under an elliptical distribution.

Publication Year

2011

Journal Title

Statistical Papers

Volume number

52

Issue number

3

Publisher

Springer

First Page (page number)

621

Last Page (page number)

632

Referreed

1

DOI

10.1007/s00362-009-0272-2

ISSN (print)

0932-5026

Link to Publisher’s Edition

http://dx.doi.org/10.1007/s00362-009-0272-2

Keywords

Heteroskedasticity, Likelihood, BHHH method, Newton–Raphson method, Scoring method, AR-ARCH model

Included in

Economics Commons

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