On the inconsistency of the MLE in certain heteroskedastic regression models
DOI:
https://doi.org/10.24201/ee.v6i2.314Keywords:
Poisson regression model, ARCH modelsAbstract
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.
Downloads
References
Amemiya, T. (1973). "Regression Analysis when the Variance of the Dependent Variable is Proportional to the Square of its Expectation", Journal of the American Statistical Association, vol. 68, pp. 928-934.
Barro, R. J., and M. Rush (1980). "Unanticipated Money and Economic Activity", in S. Fischer (ed.), Rational Expectations and Economic Policy, Chicago, University of Chicago Press.
Black, F. (1976). "Studies of Stock Market Volatility Changes", Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economic Statistics Section, pp. 177-181.
Bollerslev, T. (1986). "A Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, vol. 31, pp. 307-327.
Carroll, R. J., and D. Ruppert (1982). "A Comparison between Maximum Likelihood and Generalized Least Squares in a Heteroskedastic Linear Model", Journal of the American Statistical Association, vol. 77, pp. 878-882.
Cameron, A. C., and P. K. Trivedi (1985). "Regression Based Tests for Overdispersion", Technical Report No. 9, Econometric Workshop, Stanford University.
Christie, A. A. (1982). "The Stochastic Behaviour of Common Stock Variances", Journal of Financial Economics, vol. 10, pp. 407-432.
Cox, D. R. (1984). "Some Remarks on Overdispersion", Biometrika, vol. 70, pp. 269-274.
Domowitz, I., and H. White (1982). "Misspecified Models with Dependent Observations", Journal of Econometrics, vol. 20, pp. 35-58.
Engle, R. F. (1982). "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation", Econometrica, vol. 50, pp. 987-1007.
Engle, R. F., and T. Bollerslev (1986). "Modelling the Persistence of Conditional Variances", Econometric Reviews, vol. 5, pp. 1-50.
Engle, R. F., D. M. Lillien and R. P. Robins (1987), "Estimating Time Varying Risk Premia in the Term Structure: The ARCH Model", Econometrica, vol. 55, pp. 391-407.
Geweke, J. (1986). "Comment", Econometric Reviews, vol. 5, pp. 57-61.
Goureiroux, C., A. Monfort and A. Trognon (1984). "Pseudo Maximum Likelihood Methods: Theory", Econometrica, vol. 52, pp. 681-700.
Griliches, Z., J. Hausman and B. H. Holland (1984). "Econometric Models for Count Data with an Application to the Patents R and D Relationship", Econometrica, vol. 52, pp. 909-938.
Hansen, L. P., and K. Singleton (1982). "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models", Econometrica, vol. 50, pp. 1269-1286.
Mishkin, F. S. (1982). "Does Anticipated Monetary Policy Matter? An Econometric Investigation", Journal of Political Economy, vol. 90, pp. 22-51.
Nelson, D. (1986). "Time Series Behavior of Stock Market Volatility and Returns", manuscript, Massachusetts, MIT.
Newey, W. K. (1986). "Efficient Estimation of Models with Conditional Moment Restrictions", manuscript, New Jersey, Princeton University.
Nicholls, D. F., and B. G. Quinn (1982). Random Coefficient Autoregressive Models: An Introduction, New York, Springer-Verlag.
Robinson, P. M. (1986). "Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form", manuscript, London, London School of Economics.
Weiss, A. A. (1984). "ARMA Models with ARCH Errors", Journal of Time Series Analysis, vol. 5, pp. 129-143.
White, H. (1980). "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity", Econometrica, vol. 48, pp. 817-838.
Downloads
Published
How to Cite
-
Abstract356
-
PDF184
Language
Search
Social Networks
Newsletter
Statistics
View 
Biblat Indicators 
Matomo
