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A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models

  • Woocheol Kim
  • Oliver Linton

We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric method of instrumental variables. Our method has considerable computational advantages over the competing marginal integration or projection method.

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File URL: http://sticerd.lse.ac.uk/dps/em/em456.pdf
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Paper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number /2003/456.

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Date of creation: May 2003
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Handle: RePEc:cep:stiecm:/2003/456
Contact details of provider: Web page: http://sticerd.lse.ac.uk/_new/publications/default.asp

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  1. Oliver Linton & Enno Mammen & N Nielsen, 2000. "The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions," STICERD - Econometrics Paper Series /2000/386, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  2. O. B. LINTON & R. CHEN & Wolfgang HÄRDLE, 1995. "An Analysis of Transformations for Additive Nonparanetric Regression," SFB 373 Discussion Papers 1995,68, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  3. Wolfgang HÄRDLE & A. TSYBAKOV & L. YANG, 1996. "Nonparametric Vector Autoregression," SFB 373 Discussion Papers 1996,61, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  4. Linton, Oliver B. & Perch Nielsen, Jens & Van de Geer, Sara, 2001. "Estimating Multiplicative and Additive Hazard Functions by Kernel Methods," Finance Working Papers 01-2, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  5. Terasvirta, Timo & Tjostheim, Dag & W.J. Granger, Clive, 1986. "Aspects of modelling nonlinear time series," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 48, pages 2917-2957 Elsevier.
  6. Andrews, Donald W.K., 1986. "Empirical process methods in econometrics," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 37, pages 2247-2294 Elsevier.
  7. Yang, Lijian & Härdle, Wolfgang & Nielsen, Jens P., 1998. "Nonparametric autoregression with multiplicative volatility and additive mean," SFB 373 Discussion Papers 1998,107, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  8. Linton, Oliver B., 2000. "Efficient Estimation Of Generalized Additive Nonparametric Regression Models," Econometric Theory, Cambridge University Press, vol. 16(04), pages 502-523, August.
  9. Ziegelmann, Flavio A., 2002. "Nonparametric Estimation Of Volatility Functions: The Local Exponential Estimator," Econometric Theory, Cambridge University Press, vol. 18(04), pages 985-991, August.
  10. Cai, Zongwu & Masry, Elias, 2000. "Nonparametric Estimation Of Additive Nonlinear Arx Time Series: Local Linear Fitting And Projections," Econometric Theory, Cambridge University Press, vol. 16(04), pages 465-501, August.
  11. Masry, Elias & Tjøstheim, Dag, 1997. "Additive Nonlinear ARX Time Series and Projection Estimates," Econometric Theory, Cambridge University Press, vol. 13(02), pages 214-252, April.
  12. Hardle, W. & Tsybakov, A., 1997. "Local polynomial estimators of the volatility function in nonparametric autoregression," Journal of Econometrics, Elsevier, vol. 81(1), pages 223-242, November.
  13. Carrasco, Marine & Chen, Xiaohong, 2002. "Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 18(01), pages 17-39, February.
  14. repec:cup:etheor:v:13:y:1997:i:2:p:214-52 is not listed on IDEAS
  15. Masry, Elias & Tjøstheim, Dag, 1995. "Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality," Econometric Theory, Cambridge University Press, vol. 11(02), pages 258-289, February.
  16. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
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