MPC Member Publications

This database contains a listing of population studies publications written by MPC Members. Anyone can add a publication by an MPC student, faculty, or staff member to this database; new citations will be reviewed and approved by MPC administrators.

Full Citation

Title: Parameter Estimation in Conditional Heteroscedastic Models

Citation Type: Journal Article

Publication Year: 2003

ISSN: 0361-0926

DOI: 10.1081/STA-120021324

Abstract: Abstract We study asymptotics of parameter estimates in conditional heteroscedastic models. The estimators considered are those obtained by minimizing certain functionals and those obtained by solving estimation equations. We establish consistency and derive asymptotic limit laws of the estimators. Condition under which the limit law is normal is studied. Further, bootstrap for these estimators is discussed. The limiting distribution of the estimators is not necessary always normal, and we present a real data example to illustrate this.

Url: http://www.tandfonline.com/doi/abs/10.1081/STA-120021324

User Submitted?: No

Authors: Chatterjee, Snigdhansu; Das, Samarjit

Periodical (Full): Communications in Statistics - Theory and Methods

Issue: 6

Volume: 32

Pages: 1135-1153

Countries:

IPUMS NHGIS NAPP IHIS ATUS Terrapop