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 School of Economics and Political Science, 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) |
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| Official URL: | http://sticerd.lse.ac.uk |
| Additional Information: | © 2003 the authors |
| Uncontrolled Keywords: | ARCH, kernel estimation, nonparametric, volatility |
| Library of Congress subject classification: | H Social Sciences > HB Economic Theory |
| Sets: | Research centres and groups > Financial Markets Group (FMG) Collections > Economists Online Departments > Economics Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD) |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| Identification Number: | EM/2003/456 |
| URL: | http://eprints.lse.ac.uk/2028/ |
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