Estimating Semiparametric Arch ( ∞ ) Models by Kernel Smoothing Methods

  title={Estimating Semiparametric Arch ( ∞ ) Models by Kernel Smoothing Methods},
  author={Oliver Linton},
We investigate a class of semiparametric ARCH(∞) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the 'news impact' function. We propose an estimation method that is based on kernel smoothing and profiled likelihood. We establish the distribution theory of the parametric components and the pointwise distribution of the nonparametric component of… CONTINUE READING
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