ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL
Published online by Cambridge University Press: 04 November 2010
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.
- Econometric Theory , Volume 27 , Issue 3: SPECIAL ISSUE ON INVERSE PROBLEMS IN ECONOMETRICS , June 2011 , pp. 639 - 661
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