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...
| Главные авторы: | , |
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| Формат: | Working paper |
| Опубликовано: |
University of Oxford
2009
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| _version_ | 1826292934404734976 |
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| author | Shephard, N Sheppard, K |
| author_facet | Shephard, N Sheppard, K |
| author_sort | Shephard, N |
| 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 | 2024-03-07T03:22:20Z |
| format | Working paper |
| id | oxford-uuid:b7d9808f-dfc6-4aba-80a6-a0bb7d074f9a |
| institution | University of Oxford |
| last_indexed | 2024-03-07T03:22:20Z |
| publishDate | 2009 |
| publisher | University of Oxford |
| record_format | dspace |
| spelling | oxford-uuid:b7d9808f-dfc6-4aba-80a6-a0bb7d074f9a2022-03-27T04:51:36ZNuisance parameters, composite likelihoods and a panel of GARCH modelsWorking paperhttp://purl.org/coar/resource_type/c_8042uuid:b7d9808f-dfc6-4aba-80a6-a0bb7d074f9aBulk import via SwordSymplectic ElementsUniversity of Oxford2009Shephard, 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 | 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 shephardn nuisanceparameterscompositelikelihoodsandapanelofgarchmodels AT sheppardk nuisanceparameterscompositelikelihoodsandapanelofgarchmodels |