Reconsidering the gains in efficiency from ML estimation versus OLS in ARCH models

Authors
Iglesias, EM Phillips, GDA
Citation
Em. Iglesias et Gda. Phillips, Reconsidering the gains in efficiency from ML estimation versus OLS in ARCH models, ECON LETT, 74(1), 2001, pp. 21-24
Citations number
2
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
74
Issue
1
Year of publication
2001
Pages
21 - 24
Database
ISI
SICI code
0165-1765(200112)74:1<21:RTGIEF>2.0.ZU;2-8
Abstract
This paper provides an improved approximation to the asymptotic relative ef ficiency of the MLE against OLS when estimating the mean equation in the pr esence of conditional heteroscedasticity. Results are given which show that the existing approximation may considerably understate the efficiency gain s of ML when the conditional heteroscedasticity is substantial. (C) 2001 El sevier Science B.V. All rights reserved.