Estimating deterministically time-varying variances in regression models
نویسندگان
چکیده
منابع مشابه
Estimating Deterministically Time-Varying Variances
The problem of structural change justifiably attracts considerable attention in econometrics. A number of different paradigms have been adopted ranging from structural breaks which are sudden and rare to time varying coefficient models which exhibit structural change more frequently and continuously. This paper is concerned with parametric econometric models whose coefficients change determinis...
متن کاملEstimating Predictive Variances with Kernel Ridge Regression
In many regression tasks, in addition to an accurate estimate of the conditional mean of the target distribution, an indication of the predictive uncertainty is also required. There are two principal sources of this uncertainty: the noise process contaminating the data and the uncertainty in estimating the model parameters based on a limited sample of training data. Both of them can be summaris...
متن کاملAdaptive Estimation of Autoregressive Models with Time-varying Variances By
Stable autoregressive models are considered with martingale differences errors scaled by an unknown nonparametric time-varying function generating heterogeneity. An important special case involves structural change in the error variance, but in most practical cases the pattern of variance change over time is unknown and may involve shifts at unknown discrete points in time, continuous evolution...
متن کاملAdaptive estimation of autoregressive models with time-varying variances
Stable autoregressive models are considered with martingale differences errors scaled by an unknown nonparametric time-varying function generating heterogeneity. An important special case involves structural change in the error variance, but in most practical cases the pattern of variance change over time is unknown and may involve shifts at unknown discrete points in time, continuous evolution...
متن کاملInference of Time - Varying Regression Models
We consider parameter estimation, hypothesis testing and variable selection for partially time-varying coefficient models. Our asymptotic theory has the useful feature that it can allow dependent, nonstationary error and covariate processes. With a two-stage method, the parametric component can be estimated with a n-convergence rate. A simulation-assisted hypothesis testing procedure is propose...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Economics Letters
سال: 2007
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2007.02.019