A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models

Woocheol Kim and Oliver Linton

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

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.

Keywords: ARCH; kernel estimation; nonparametric; volatility. (search for similar items in EconPapers)
Date: 2003-05
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Citations: View citations in EconPapers (3)

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Related works:
Working Paper: A local instrumental variable estimation method for generalized additive volatility models (2004)
Working Paper: A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models (2004)
Working Paper: A local instrumental variable estimation method for generalized additive volatility models (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:456

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