Working Paper
GARCH-based identification and estimation of triangular systems
Abstract: Diagonal GARCH is shown to support identification of the triangular system and is argued as a higher moment analog to traditional exclusion restrictions used for determining suitable instruments. The estimator for this result is ML in the case where a distribution for the GARCH process is known and GMM otherwise. For the GMM estimator, an alternative weighting matrix is proposed.
Keywords: time series analysis;
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Bibliographic Information
Provider: Federal Reserve Bank of Boston
Part of Series: Supervisory Research and Analysis Working Papers
Publication Date: 2008
Number: QAU08-4