Estimation Of A Semiparametric Igarch(1,1) Model
AbstractWe 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 method. We establish the rate of convergence of our estimator.
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 27 (2011)
Issue (Month): 03 (June)
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Other versions of this item:
- Woocheol Kim & Oliver Linton, 2009. "Estimation Of A Semiparametricigarch(1,1) Model," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2009/539, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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