Munich Personal RePEc Archive

GARCH-Based Identification and Estimation of Triangular Systems

Todd, Prono (2009): GARCH-Based Identification and Estimation of Triangular Systems.

WarningThere is a more recent version of this item available.
[img]
Preview
PDF
MPRA_paper_20032.pdf

Download (127kB) | Preview

Abstract

The diagonal GARCH(1,1) model is shown to support identification of the triangular system and is argued as a higher moment analog to traditional exclusion restrictions. Estimators for this result include QML and GMM. For the GMM estimator, only partial parameterization of the conditional covariance matrix is required. An alternative weighting matrix for the GMM estimator is also proposed.

Available Versions of this Item

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.