On the inconsistency on the MLE in certain heteroskedastic regression models

This paper studies the possibility of inconsistency of the maximum likelihood estimators for certain heteroskedastic regression models. These include the Poisson regression model and the ARCH models.

[1]  R. Engle.  Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .

[2]  T. Bollerslev,et al.  Generalized autoregressive conditional heteroskedasticity , 1986 .

[3]  H. Iemoto.  Modelling the persistence of conditional variances , 1986 .

[4]  David R. Cox,et al.  Some remarks on overdispersion , 1983 .

[5]  P. Robinson.  Asymptotically efficient estimation in the presence of heteroskedasticity of unknown form , 1987 .

[6]  Z. Griliches,et al.  Econometric Models for Count Data with an Application to the Patents-R&D Relationship , 1984 .

[7]  H. White.  A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity , 1980 .

[8]  D. Ruppert,et al.  A comparison between maximum likelihood and generalized least squares in a heteroscedastic linear model , 1982 .

[9]  A. Christie,et al.  The stochastic behavior of common stock variances: value , 1982 .

[10]  Frederic S. Mishkin.  Does Anticipated Monetary Policy Matter? An Econometric Investigation , 1980, Journal of Political Economy.

[11]  R. Barro,et al.  Unanticipated Money and Economic Activity , 1979 .

[12]  C. Gouriéroux,et al.  PSEUDO MAXIMUM LIKELIHOOD METHODS: THEORY , 1984 .

[13]  B. G. Quinn,et al.  Random Coefficient Autoregressive Models: An Introduction , 1982 .

[14]  H. White,et al.  Misspecified models with dependent observations , 1982 .

[15]  A. A. Weiss.  ARMA MODELS WITH ARCH ERRORS , 1984 .

[16]  L. Hansen,et al.  Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models , 1982 .

[17]  T. Amemiya.  Regression Analysis When the Variance of the Dependent Variable Is Proportional to the Square of Its Expectation , 1973 .

[18]  Russell P. Robins,et al.  Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model , 1987 .