ESTIMATION OF A SEMIPARAMETRICIGARCH(1,1) MODEL

We propose a semiparametric IGARCH model that allows for persistence invariance but also allows for more flexible functional form. We assume that thedifference of the squared process is weakly stationary. We propose an estimationstrategy based on the nonparametric instrumental variable method. We establishthe rate of convergence of our estimator.

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Year of publication:	2009-10
Authors:	Kim, Woocheol ; Linton, Oliver
Institutions:	Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Subject:	Inverse Problem \| Instrumental Variable \| IGARCH \| Kernel Estimation \| Nonparametric regression

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Extent:	application/pdf
Series:	STICERD - Econometrics Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008838717