Nuisance parameters, composite likelihoods and a panel of GARCH models.
We investigate the properties of the composite likelihood (CL) method for (T x NT) GARCH panels. The defining feature of a GARCH panel with time series 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...
| Main Authors: | , , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Department of Economics (University of Oxford)
2009
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