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ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL

Published online by Cambridge University Press:  04 November 2010

Woocheol Kim  and
Oliver Linton
Woocheol Kim
Affiliation:
Korea Institute of Public Finance
Oliver Linton*
Affiliation:
London School of Economics
*
*Address correspondence to Oliver Linton, Department of Economics, London School of Economics, Houghton Street, London WC2A 2AE, United Kingdom; e-mail: o.linton@lse.ac.uk.
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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.

Type
ARTICLES
Information
Econometric Theory , Volume 27 , Issue 3: SPECIAL ISSUE ON INVERSE PROBLEMS IN ECONOMETRICS , June 2011 , pp. 639 - 661
Copyright
Copyright © Cambridge University Press 2011

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References

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