Kim, Woocheol and Linton, Oliver (2004) A local instrumental variable estimation method for generalized additive volatility models. Financial Markets Group Discussion Papers (509). Financial Markets Group, The 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://fmg.ac.uk |
| Additional Information: | © 2004 The Authors |
| Divisions: | Financial Markets Group |
| Subjects: | H Social Sciences > HB Economic Theory |
| JEL classification: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models |
| Date Deposited: | 06 Aug 2009 11:26 |
| Last Modified: | 11 Dec 2024 18:39 |
| URI: | http://eprints.lse.ac.uk/id/eprint/24758 |
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