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 |
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Department of Economics (University of Oxford)
2009
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| _version_ | 1826270877933633536 |
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| author | Pakel, C Shephard, N Sheppard, K |
| author_facet | Pakel, C Shephard, N Sheppard, K |
| author_sort | Pakel, C |
| collection | OXFORD |
| description | 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 information across the panel instead of using information available in a single series only. Simulations and empirical analysis illustate that in reasonably large T CL performs well. However, due to the estimation error introduced through nuisance parameter estimation, CL is subject to the “incidental parameter” problem for small T. |
| first_indexed | 2024-03-06T21:47:45Z |
| format | Working paper |
| id | oxford-uuid:4a2e3870-50d0-4375-9ea4-9e94c3b01e33 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T21:47:45Z |
| publishDate | 2009 |
| publisher | Department of Economics (University of Oxford) |
| record_format | dspace |
| spelling | oxford-uuid:4a2e3870-50d0-4375-9ea4-9e94c3b01e332022-03-26T15:36:06ZNuisance parameters, composite likelihoods and a panel of GARCH models.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:4a2e3870-50d0-4375-9ea4-9e94c3b01e33EnglishDepartment of Economics - ePrintsDepartment of Economics (University of Oxford)2009Pakel, CShephard, NSheppard, KWe 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 information across the panel instead of using information available in a single series only. Simulations and empirical analysis illustate that in reasonably large T CL performs well. However, due to the estimation error introduced through nuisance parameter estimation, CL is subject to the “incidental parameter” problem for small T. |
| spellingShingle | Pakel, C Shephard, N Sheppard, K Nuisance parameters, composite likelihoods and a panel of GARCH models. |
| title | Nuisance parameters, composite likelihoods and a panel of GARCH models. |
| title_full | Nuisance parameters, composite likelihoods and a panel of GARCH models. |
| title_fullStr | Nuisance parameters, composite likelihoods and a panel of GARCH models. |
| title_full_unstemmed | Nuisance parameters, composite likelihoods and a panel of GARCH models. |
| title_short | Nuisance parameters, composite likelihoods and a panel of GARCH models. |
| title_sort | nuisance parameters composite likelihoods and a panel of garch models |
| work_keys_str_mv | AT pakelc nuisanceparameterscompositelikelihoodsandapanelofgarchmodels AT shephardn nuisanceparameterscompositelikelihoodsandapanelofgarchmodels AT sheppardk nuisanceparameterscompositelikelihoodsandapanelofgarchmodels |