GARCH-based identification and estimation of triangular systems

Diagonal GARCH is shown to support identification of the triangular system and is argued as a higher moment analog to traditional exclusion restrictions used for determining suitable instruments. The estimator for this result is ML in the case where a distribution for the GARCH process is known and GMM otherwise. For the GMM estimator, an alternative weighting matrix is proposed.

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Year of publication:	2008
Authors:	Prono, Todd
Institutions:	Federal Reserve Bank of Boston
Subject:	Time-series analysis

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Extent:	text/html application/pdf
Series:	Risk and Policy Analysis Unit Working Paper.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number QAU08-4
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005387107