Abstract: We investigate the properties of the composite likelihood (CL) method for ( ) GARCH panels. The defining feature of a GARCH panel with time-series length is that, while nuisance parameters are allowed to vary across 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 is reasonably large CL performs well. However, due to the presence of nuisance parameters, CL is subject to the incidental parameter problem for small
Key words and phrases: ARCH models, composite likelihood, nuisance parameters, panel data.