Title :
Arch parameter estimation via constrained two stage least squares method
Author :
Mousazadeh, Saman ; Karimi, Mahmood ; Farrokhrooz, Mehdi
Author_Institution :
Electr. Eng. Dept., Shiraz Univ., Shiraz
Abstract :
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 for small sample size, the performance of our estimator is better than the quasi-maximum likelihood and two stage least squares estimators.
Keywords :
autoregressive processes; least squares approximations; parameter estimation; quadratic programming; signal processing; ARCH parameter estimation; asymptotic efficiency; autoregressive conditional heterocedasticity models; constrained two-stage least squares method; quadratic optimization; Books; Least squares approximation; Least squares methods; Nonlinear equations; Parameter estimation; Random processes; Signal processing; Spine; Stability; Yttrium;
Conference_Titel :
Signal Processing and Its Applications, 2007. ISSPA 2007. 9th International Symposium on
Conference_Location :
Sharjah
Print_ISBN :
978-1-4244-0778-1
Electronic_ISBN :
978-1-4244-1779-8
DOI :
10.1109/ISSPA.2007.4555429