The live method for generalized additive volatility models

Woocheol Kim and Oliver Linton

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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.

JEL-codes: J1 (search for similar items in EconPapers)
Date: 2004-12
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Citations: View citations in EconPapers (3)

Published in Econometric Theory, December, 2004, 20(6), pp. 1094-1139. ISSN: 1469-4360

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Related works:
Journal Article: THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:321

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