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Asymptotic Bias For Quasi-Maximum Likelihood Estimators In Models With Conditional Heteroskedasticity, Douglas G. Steigerwald, Whitney Newey

Douglas G. Steigerwald

Virtually all applications of time-varying conditional variance models use a quasi-maximum likelihood estimator (QMLE). Consistency of a QMLE requires an identification condition that the quasi-log-likelihood have a unique maximum at the true conditional mean and relative scale parameters. We show that the identification condition holds for a non-Gaussian QMLE if the conditional mean is identically zero or if a symmetry condition is satisfied. Without symmetry an additional parameter, for the location of the innovation density, must be added for consistency. We calculate the efficiency loss from adding such a parameter under symmetry, when the parameter is not needed. We also …