ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL

B-Tier
Journal: Econometric Theory
Year: 2011
Volume: 27
Issue: 3
Pages: 639-661

Authors (2)

Kim, Woocheol (not in RePEc) Linton, Oliver (University of Cambridge)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:27:y:2011:i:03:p:639-661_00
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25