Economics, Econometrics and Finance
8 years ago

Quasi-maximum likelihood estimators outperform maximum likelihood in INGARCH model.

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Journal of Jilin University(Science Edition)
Consistency of Quasi-maximum Likelihood Estimators in INGARCH Model
Yiqin Lin

Paper Summary

The researchers looked at how to estimate parameters in a type of model called INGARCH. They used a method called quasi-maximum likelihood and found that the estimators are very accurate. When there are a lot of data, these estimators work even better than the usual maximum likelihood ones.

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