Please use this identifier to cite or link to this item:
Kim, Woocheol
Linton, Oliver
Year of Publication: 
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,86
We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric method of instrumental variables. Our method has considerable computational advantages over the competing marginal integration or projection method.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
579.58 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.