A local instrumental estimation method for generalized additive volatility models

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.

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Year of publication:	2000
Authors:	Kim, Woocheol ; Linton, Oliver
Institutions:	Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät

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Extent:	application/pdf
Series:	SFB 373 Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2000,86
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010956364