Semiparametric Estimator of Time Series Conditional Variance

• Main Authors: MISHRA, Santosh, SU, Liangjun, ULLAH, Aman
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2010
• 主題: Conditional variance; Nonparametric estimator; Semiparametric models; Econometrics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/356; https://ink.library.smu.edu.sg/context/soe_research/article/1355/viewcontent/Semiparametric_Estimator_of_Time_Series_Conditional_Variance.pdf

We propose a new combined semiparametric estimator, which incorporates the parametric and nonparametric estimators of the conditional variance in a multiplicative way. We derive the asymptotic bias, variance, and normality of the combined estimator under general conditions. We show that under correc...