On the inconsistency of the MLE in certain heteroskedastic regression models


  • Adrian R. Pagan University of Rochester
  • Hernán Sabau Operadora de Bolsa




Poisson regression model, ARCH models


This paper studies the possibility of inconsistency of the maximum likelihood estimators for certain heteroskedastic regression models. These include the Poisson regression model and the ARCH models.


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How to Cite

Pagan, A. R., & Sabau, H. (1991). On the inconsistency of the MLE in certain heteroskedastic regression models. Estudios Económicos De El Colegio De México, 6(2), 159–172. https://doi.org/10.24201/ee.v6i2.314