"Nuisance parameters, composite likelihoods and a panel of GARCH models" Cavit Pakel Department of Economics, University of Oxford & Oxford-Man Institute, University of Oxford, Eagle House, Walton Well Road, Oxford OX2 6ED, UK. Neil Shephard Oxford-Man Institute, University of Oxford, Eagle House, Walton Well Road, Oxford OX2 6EE, UK and Department of Economics, University of Oxford Kevin Sheppard Oxford-Man Institute, University of Oxford, Eagle House, Walton Well Road, Oxford OX2 6ED, UK & Department of Economics, University of Oxford Abstract We investigate the properties of the composite likelihood (CL) method for (T ×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 in reasonably large T CL performs well. However, due to the estimation error introduced through nuisance parameter estimation, CL is subject to the “incidental parameter” problem for small T . Keywords: ARCH models; composite likelihood; nuisance parameters; panel data JEL Classifications: C01, C14, C32