A local instrumental variable estimation method for generalized additive volatility models
Kim, W. & Linton, O.
(2004).
A local instrumental variable estimation method for generalized additive volatility models.
(Financial Markets Group Discussion Papers 509).
Financial Markets Group, The London School of Economics and Political Science.
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.
| Item Type | Working paper |
|---|---|
| Copyright holders | © 2004 The Authors |
| Departments | LSE > Research Centres > Financial Markets Group |
| Date Deposited | 06 Aug 2009 |
| URI | https://researchonline.lse.ac.uk/id/eprint/24758 |