Kim, Woocheol and Linton, Oliver B. (2004) The live method for generalized additive volatility models. Econometric Theory, 20 (6). pp. 1094-1139. ISSN 1469-4360
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Abstract
We investigate a new separable nonparametric model for time series, which includes many autoregressive conditional heteroskedastic (ARCH) models and autoregressive (AR) models already discussed in the literature. We also propose a new estimation procedure called LIVE, or local instrumental variable estimation, that is based on a localization of the classical instrumental variable method. Our method has considerable computational advantages over the competing marginal integration or projection method. We also consider a more efficient two-step likelihood-based procedure and show that this yields both asymptotic and finite-sample performance gains.
Item Type: | Article |
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Official URL: | http://uk.cambridge.org/journals/ect/ |
Additional Information: | Copyright © 2004 Cambridge University Press. LSE has developed LSE Research Online so that users may access research output of the School. Copyright © and Moral Rights for the papers on this site are retained by the individual authors and/or other copyright owners. Users may download and/or print one copy of any article(s) in LSE Research Online to facilitate their private study or for non-commercial research. You may not engage in further distribution of the material or use it for any profit-making activities or any commercial gain. You may freely distribute the URL (http://eprints.lse.ac.uk) of the LSE Research Online website. |
Divisions: | Financial Markets Group STICERD Economics |
Subjects: | H Social Sciences > HB Economic Theory |
Date Deposited: | 17 Feb 2008 |
Last Modified: | 05 Aug 2024 19:06 |
URI: | http://eprints.lse.ac.uk/id/eprint/321 |
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