Document Type

Journal Article

Department/Unit

Department of Economics

Language

English

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.

Keywords

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

Publication Date

2011

Source Publication Title

Statistical Papers

Volume

52

Issue

3

Start Page

621

End Page

632

Publisher

Springer

Peer Reviewed

1

DOI

10.1007/s00362-009-0272-2

Link to Publisher's Edition

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

ISSN (print)

09325026

Included in

Economics Commons

Share

COinS