GARCH-Based Identification and Estimation of Triangular Systems

Todd Prono ()

MPRA Paper from University Library of Munich, Germany

Abstract: The diagonal GARCH(1,1) model is shown to support identification of the triangular system and is argued as a higher moment analog to traditional exclusion restrictions. Estimators for this result include QML and GMM. For the GMM estimator, only partial parameterization of the conditional covariance matrix is required. An alternative weighting matrix for the GMM estimator is also proposed.

Keywords: Triangular Systems; Endogeneity; Identification; Heteroskedasticity; Quasi Maximum Likelihood; Generalized Method of Moments; GARCH; QML; GMM (search for similar items in EconPapers)
JEL-codes: C13 C32 (search for similar items in EconPapers)
Date: 2009-09
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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https://mpra.ub.uni-muenchen.de/20032/1/MPRA_paper_20032.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/27482/1/MPRA_paper_27482.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/30996/1/MPRA_paper_30996.pdf revised version (application/pdf)

Related works:
Working Paper: GARCH-based identification and estimation of triangular systems (2008)
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