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A local instrumental variable estimation method for generalized additive volatility models

Kim, Woocheol and Linton, Oliver (2003) A local instrumental variable estimation method for generalized additive volatility models. Econometrics; EM/2003/456 (EM/2003/456). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

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Abstract

We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric method of instrumental variables. Our method has considerable computational advantages over the competing marginal integration or projection method.

Item Type: Monograph (Discussion Paper)
Official URL: http://sticerd.lse.ac.uk
Additional Information: © 2003 the authors
Divisions: Financial Markets Group
Economics
STICERD
Subjects: H Social Sciences > HB Economic Theory
Date Deposited: 27 Apr 2007
Last Modified: 15 Sep 2023 22:54
URI: http://eprints.lse.ac.uk/id/eprint/2028

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