The Econometric SocietyEdited by: Marina Halac • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Mar, 2004, Volume 72, Issue 2
https://doi.org/10.1111/j.1468-0262.2004.00504.x
p. 641-646
Søren Tolver Jensen, Anders Rahbek
We establish consistency and asymptotic normality of the quasi‐maximum likelihood estimator in the linear ARCH model. Contrary to the existing literature, we allow the parameters to be in the region where no stationary version of the process exists. This implies that the estimator is always asymptotically normal.
December 11, 2025
We are deeply saddened by the passing of Kate Ho, the John L. Weinberg Professor of Economics and Business Policy at Princeton University and a Fellow of the Econometric Society. Kate was a brilliant IO economist and scholar whose impact on the profession will resonate for many years to come.
