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Abstract:![]()
Econometrics Paper
A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models Woocheol Kim and Oliver Linton May 2003 Paper No' EM/2003/456: Full Paper ![]() 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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