A Local Instrumental Variable 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:	2003-05
Authors:	Kim, Woocheol ; Linton, Oliver
Institutions:	Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Subject:	ARCH \| kernel estimation \| nonparametric \| volatility

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Extent:	application/pdf
Series:	STICERD - Econometrics Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005670792