Arch parameter estimation via constrained two stage least squares method

@article{Mousazadeh2007ArchPE,
  title={Arch parameter estimation via constrained two stage least squares method},
  author={S. Mousazadeh and M. Karimi and M. Farrokhrooz},
  journal={2007 9th International Symposium on Signal Processing and Its Applications},
  year={2007},
  pages={1-4}
}
  • S. Mousazadeh, M. Karimi, M. Farrokhrooz
  • Published 2007
  • Computer Science, Mathematics
  • 2007 9th International Symposium on Signal Processing and Its Applications
  • This paper discusses the constrained two stage least squares (CLS2) estimator of the parameters of ARCH models under known order. This estimator is a modified version of the two stage least squares (TSLS) estimation. The estimator is easy to obtain and fast since it involves only quadratic optimization. At the same time, the estimator has the same asymptotic efficiency as that of the TSLS estimator and the widely used quasi-maximum likelihood estimator (QMLE). Simulation results show that, even… CONTINUE READING

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