Todd, Prono (2009): GARCH-Based Identification and Estimation of Triangular Systems.
Download (168kB) | Preview
The diagonal GARCH(1,1) model is shown to support identification of the triangular system and is argued as a second moment analog to traditional exclusion restrictions. Estimators for this result include QML and GMM. The GMM estimator contains many (potential weak) moment conditions that can be the source of bias. As a result, a jackknife GMM estimator is proposed that remains consistent in the presence of many such moments. A small Monte Carlo study of the GMM and jackknife GMM estimators is also included.
|Item Type:||MPRA Paper|
|Original Title:||GARCH-Based Identification and Estimation of Triangular Systems|
|Keywords:||Triangular models, heteroskedasticity, identification|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General
C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables
|Depositing User:||Todd Prono|
|Date Deposited:||17. Dec 2010 00:48|
|Last Modified:||13. Feb 2013 17:52|
Bollerslev, T., 1986, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307--327.
Bollerslev, T., 1990, Modelling the coherence in short run nominal exchange rates: a multivariate generalized ARCH model, Review of Economics and Statistics, 72, 498-505.
Bollerslev, T., R.F Engle and J.M. Wooldridge, 1988, A capital asset pricing model with time-varying covariances, Journal of the Political Economy, 96, 116-131.
Bollerslev, T. and J.M. Wooldridge, 1992, Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances, Econometric Reviews, 11, 143-172.
Brown, B.W. and W.K. Newey, 2002, Generalized method of moments, efficient bootstrapping, and improved inference, Journal of Business and Economic Statistics, 20, 507-571.
Carlstein, E., 1986, The use of subseries methods for estimating the variance of a general statistic from a stationary time series, Annals of Statistics, 14, 1171-1179.
Engle, R.F and K.F. Kroner, 1995, Multivariate simultaneous generalized GARCH, Econometric Theory, 11, 121-150.
Hafner, C.M., 2003, Fourth moment structure of multivariate GARCH models, Journal of Financial Econometrics, 1, 26-54.
Hall, P. and J.L. Horowitz, 1996, Bootstrap critical values for tests based on generalized-method-of-moments estimators, Econometrica, 64, 891-916.
Hansen,L.P, 1982, Large sample properties of generalized method of moments estimators, Econometrica, 50, 1029-1054.
Hansen, P.R. and A. Lunde, 2005, A forecast comparison of volatility models: does anything beat a GARCH(1,1)?, Journal of Applied Econometrics, 20, 873-889.
Iglesias, E.M. and G.D.A Phillips, 2004, Simultaneous equations and weak instruments under conditionally heteroskedastic disturbances, unpublished manuscript.
Klein, R. and F. Vella, 2010, Estimating a class of triangular simultaneous equations models without exclusion restrictions, Journal of Econometrics, 154, 154-164.
Lewbel, A., 2010, Using heteroskedasticity to identify and estimate mismeasured and endogenous regressor models, unpublished manuscript.
Newey, W.K. and R.J. Smith, 2004, Higher order properties of GMM and generalized empirical likelihood estimators, Econometrica, 72, 219-255.
Newey, W.K and F. Windmeijer, 2009, Generalized method of moments with many weak moment conditions, Econometrica, 77, 687-719.
Prono, T., 2010, Simple GMM estimation of the semi-strong GARCH(1,1) model, unpublished manuscript.
Rigobon, R., 2002, The curse of non-investment grade countries, Journal of Development Economics, 69, 423-449.
Rigobon, R., 2003, Identification through heteroskedasticity, Review of Economics and Statistics, 85, 777-792.
Rigobon, R. and B. Sack, 2003, Measuring the response of monetary policy to the stock market, Quarterly Journal of Economics, 118, 639-669.
Rummery, S., F. Vella and M. Verbeek, 1999, Estimating the returns to education for Australian youth via rank-order instrumental variables, Labour Economics, 6, 491-507.
Sentana, E. and G. Fiorentini, 2001, Identification, estimation and testing of conditionally heteroskedastic factor models, Journal of Econometrics, 102, 143-164.
Vella, F. and M. Verbeek, 1997, Rank order as an instrumental variable, unpublished manuscript.
Wooldridge, J.M., 1990, A unified approach to robust, regression-based specification tests, Econometric Theory, 6, 17-43.
Available Versions of this Item
GARCH-Based Identification and Estimation of Triangular Systems. (deposited 18. Jan 2010 10:16)
- GARCH-Based Identification and Estimation of Triangular Systems. (deposited 17. Dec 2010 00:48) [Currently Displayed]