Sobre la inconsistencia de los EMV en ciertos modelos heteroscedásticos de regresión

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.

Bibliographic Details
Main Authors: Pagan, Adrian R., Sabau, Hernán
Format: Online
Language:English
Editor: El Colegio de México, A.C. 1991
Subjects:
modelos ARCH
modelo de regresión de Poisson
ARCH models
Poisson regression model
Online Access:https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/314
Journal:

Estudios Económicos

Description
Summary: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.

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