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: | 13 Sep 2024 19:49 |
| URI: | http://eprints.lse.ac.uk/id/eprint/2028 |
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