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Estimation of a semiparametric IGARCH (1,1) model

By Woocheol Kim and Oliver Linton

Abstract

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 method. We establish the rate of convergence of our estimator

Topics: HB Economic Theory
Publisher: Cambridge University Press
Year: 2011
DOI identifier: 10.1017/S0266466610000435
OAI identifier: oai:eprints.lse.ac.uk:35760
Provided by: LSE Research Online
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