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Run Prono Estimation with Diagonal GARCH

Source: R/prono-diagonal-garch.R
prono_diagonal_garch.Rd

Complete Prono estimation using proper diagonal GARCH specification

Usage

prono_diagonal_garch(
  data,
  method = c("2sls", "gmm"),
  garch_order = c(1, 1),
  verbose = TRUE
)

Arguments

data

Data frame with Y1, Y2, and X variables

method

Character. Either "2sls" or "gmm"

garch_order

GARCH(p,q) order

verbose

Print progress

Value

List with estimation results

References

Prono, T. (2014). The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Triangular Systems, with Applications to Asset Pricing Models That Include a Mismeasured Factor. Journal of Applied Econometrics, 29(5), 800-824. doi:10.1002/jae.2387

See also

fit_diagonal_garch_prono for GARCH fitting run_single_prono_simulation for 2SLS estimation prono_gmm for GMM estimation

Examples

if (FALSE) { # \dontrun{
# Time-consuming example with diagonal GARCH
data <- generate_prono_data(n = 500)
result <- prono_diagonal_garch(data, method = "2sls")
} # }