WANG Dehui, SONG Lixin, SHI Ningzhong, . Estimation and Test of ARCH(0,2) Model under Order Restriction[J]. Chinese Journal of Applied Probability and Statistics, 2002, 18(3): 244-254.
Citation: WANG Dehui, SONG Lixin, SHI Ningzhong, . Estimation and Test of ARCH(0,2) Model under Order Restriction[J]. Chinese Journal of Applied Probability and Statistics, 2002, 18(3): 244-254.
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Estimation and Test of ARCH(0,2) Model under Order Restriction

  • 1. Mathematical Institute of Jilin University, Channgchun, 130012;

  • 2. Mathematical Department, Northeast Normal University, Changchun, 130024

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  • Received Date: March 02, 2000
  • Revised Date: June 18, 2000
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    • Abstract
  • In this paper, we prove the asymptotic property of the maximum likelihood estimators of conditional Gaussian ARCH（0,2） under order restriction, and find the limit distribution of likelihood ratio test statistics. Basing on quardratic programming method, we also present a numerical algorithm about MLE.
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