Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH1,1 Model Report as inadecuate




Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH1,1 Model - Download this document for free, or read online. Document in PDF available to download.

Abstract

IV estimators with an instrument vector composed only of past squared residuals, while applicable to the semi-strong ARCH1 model, do not extend to the semi-strong GARCH1,1 case because of underidentification. Augmenting the instrument vector with past residuals, however, renders traditional IV estimation feasible, if the residuals are skewed. The proposed estimators are much simpler to implement than efficient IV estimators, yet they retain improved finite sample performance over QMLE. Jackknife versions of these estimators deal with the issues caused by many potentially weak instruments. A Monte Carlo study is included, as is an empirical application involving foreign currency spot returns.



Item Type: MPRA Paper -

Original Title: Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH1,1 Model-

Language: English-

Keywords: GARCH; GMM; instrumental variables; continuous updating; many moments; robust estimation-

Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: GeneralC - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation MethodsC - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes-





Author: Todd, Prono

Source: https://mpra.ub.uni-muenchen.de/33634/







Related documents