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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 (pdf)

Tags: arch; kernel estimation; nonparametric; volatility.

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.