Asymptotic Theory for ARCH Models: Estimation and Testing
研究了带移动平均误差的线性动态模型中，ARCH模型参数的极大似然和最小二乘估计性质，以及相关检验方法，不假设误差服从正态分布。
In the context of a linear dynamic model with moving average errors, we consider a heteroscedastic model which represents an extension of the ARCH model introduced by Engle [4]. We discuss the properties of maximum likelihood and least squares estimates of the parameters of both the regression and ARCH equations, and also the properties of various tests of the model that are available. We do not assume that the errors are normally distributed.