GARCH-based identification and estimation of triangular systems

Todd Prono ()

No QAU08-4, Supervisory Research and Analysis Working Papers from Federal Reserve Bank of Boston

Abstract: Diagonal GARCH is shown to support identification of the triangular system and is argued as a higher moment analog to traditional exclusion restrictions used for determining suitable instruments. The estimator for this result is ML in the case where a distribution for the GARCH process is known and GMM otherwise. For the GMM estimator, an alternative weighting matrix is proposed.

Keywords: time; series; analysis (search for similar items in EconPapers)
Date: 2008
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: GARCH-Based Identification and Estimation of Triangular Systems (2009)
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