ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL

被引：4

作者：

Kim, Woocheol ^{[1
]}

Linton, Oliver ^{[1
]}

机构：

[1] London Sch Econ, Dept Econ, London WC2A 2AE, England

来源：

ECONOMETRIC THEORY | 2011年 / 27卷 / 03期

关键词：

INFERENCE;

D O I：

10.1017/S0266466610000435

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：639 / 661

页数：23

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