NUISANCE PARAMETERS, COMPOSITE LIKELIHOODS AND A PANEL OF GARCH MODELS

被引：0
|
作者：
Pakel, Cavit [1 ,2 ]
Shephard, Neil [1 ,2 ]
Sheppard, Kevin [1 ,2 ]
机构：
[1] Univ Oxford, Dept Econ, Oxford OX2 6ED, England
[2] Univ Oxford, Oxford Man Inst, Oxford OX2 6ED, England
来源：
STATISTICA SINICA | 2011年 / 21卷 / 01期
关键词：
ARCH models; composite likelihood; nuisance parameters; panel data; CONSISTENT COVARIANCE-MATRIX; PREDICTIVE ABILITY; VOLATILITY MODELS; HETEROSKEDASTICITY; INFERENCE; BAYES;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We investigate the properties of the composite likelihood (CL) method for (T x N(T)) GARCH panels. The defining feature of a GARCH panel with time-series length T is that, while nuisance parameters are allowed to vary across N(T) 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, due to the presence of nuisance parameters, CL is subject to the "incidental parameter" problem for small T.
引用
收藏
页码：307 / 329
页数：23
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