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About the article
Published Online: 2013-05-03
Identification via constraints placed on variances was first considered by Wright (1928).
Sentana and Fiorentini (2001) use a two-step estimation approach. Based on the unconditional variance, their first step provides an estimator of the matrix, which is used as input for the second step that produces the estimators of the conditional variance parameters. They acknowledge that, when the factor dimension is greater than or equal to two, “…the two-step estimator of (parameters in the conditional variance) will be inconsistent” (see paragraph 2, 150).
Although is lower triangular (not symmetric), we still use vech() to denote its lower triangular elements when no confusions can arise.