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The live method for generalized additive volatility models

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
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.
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Sets: Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Departments > Economics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 17 Feb 2008
URL: http://eprints.lse.ac.uk/321/

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