GARCH-Based Identification and Estimation of Triangular Systems

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

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Triangular Systems, Endogeneity, Identification, Heteroskedasticity, Quasi Maximum Likelihood, Generalized Method of Moments, GARCH, QML, GMM
• Subjects: 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 > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models

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