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A local instrumental variable estimation method for generalized additive volatility models

By Woocheol Kim and Oliver Linton

Abstract

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

Topics: HB Economic Theory
Publisher: Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science
Year: 2003
OAI identifier: oai:eprints.lse.ac.uk:2028
Provided by: LSE Research Online

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