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Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality

Published online by Cambridge University Press:  11 February 2009

Elias Masry  and
Dag Tjøstheim
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Abstract

We consider the estimation and identification of the functional structures of nonlinear econometric systems of the ARCH type. We employ nonparametric kernel estimates for the nonlinear functions characterizing the systems, and we establish strong consistency along with sharp rates of convergence under mild regularity conditions. We also prove the asymptotic normality of the estimates.

Type
Research Article
Information
Econometric Theory , Volume 11 , Issue 2 , February 1995 , pp. 258 - 289
Copyright
Copyright © Cambridge University Press 1995

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