English, Article, Journal or magazine article edition: A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models Woocheol Kim; Oliver Linton

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Bookmark: http://trove.nla.gov.au/version/44870
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models
Author
  • Woocheol Kim
  • Oliver Linton
Physical Description
  • preprint
Notes
  • 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.
  • ARCH, kernel estimation, nonparametric, volatility.
  • RePEc:cep:stiecm:/​2003/​456
  • 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 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.
  • RePEc:fmg:fmgdps:dp509
Language
  • English
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