We propose a semiparametric IGARCH model that allows for persistence in variance but also allows for more flexible functional form. We assume that the difference of the squared process is weakly stationary. We propose an estimation strategy based on the nonparametric instrumental variable...

We examine the higher order asymptotic properties of semiparametric regression estimators that were obtained by the general MINPIN method described in Andrews (1989, Semiparametric Econometric Models: I. Estimation, Discussion paper 908, Cowles Foundation). We derive an order <italic>n</italic>⁻¹ stochastic...

We construct efficient estimators of the identifiable parameters in a regression model when the errors follow a stationary parametric ARCH(<italic>P</italic>) process. We do not assume a functional form for the conditional density of the errors, but do require that it be symmetric about zero. The estimators of...

Local linear fitting is a popular nonparametric method in statistical and econometric modeling. Lu and Linton (<xref>2007</xref>, <italic>Econometric Theory</italic>23, 37–70) established the pointwise asymptotic distribution for the local linear estimator of a nonparametric regression function under the condition of near...