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GARCH-Based Identification and Estimation of Triangular Systems

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

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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.

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