- Abstract:
-
We investigate the properties of the composite likelihood (CL) method for (T × NT ) GARCH panels. The defining feature of a GARCH panel with timeseries length T is that, while nuisance parameters are allowed to vary across NT series, other parameters of interest are assumed to be common. CL pools information across the panel instead of using information available in a single series only. Simulations and empirical analysis illustrate that when T is reasonably large CL performs well. However, d...
Expand abstract - Journal:
- Statistica Sinica
- Volume:
- 21
- Issue:
- 1
- Publication date:
- 2011-01-05
- URN:
-
uuid:38536659-3cb2-473a-a733-39a96c88bd7f
- Local pid:
- oai:economics.ouls.ox.ac.uk:15007
- Language:
- English
- Copyright date:
- 2011
Journal article
Nuisance parameters, composite likelihoods and a panel of GARCH models.
Actions
Authors
Bibliographic Details
Item Description
Terms of use
Metrics
Altmetrics
Dimensions
If you are the owner of this record, you can report an update to it here: Report update to this record