A local instrumental estimation method for generalized additive volatility models

Woocheol Kim and Oliver Linton

No 2000,86, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

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.

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:200086

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