GARCH-Based Identification and Estimation of Triangular Systems

The diagonal GARCH(1,1) model is shown to support identification of the triangular system and is argued as a higher moment analog to traditional exclusion restrictions. Estimators for this result include QML and GMM. For the GMM estimator, only partial parameterization of the conditional covariance matrix is required. An alternative weighting matrix for the GMM estimator is also proposed.

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Year of publication:	2009-09
Authors:	Todd, Prono
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Triangular Systems \| Endogeneity \| Identification \| Heteroskedasticity \| Quasi Maximum Likelihood \| Generalized Method of Moments \| GARCH \| QML \| GMM

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C13 - Estimation ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008543533