Abstract This paper analyzes unobserved heterogeneity when observed characteristics are modeled nonlinearly. The proposed model builds on varying random coefficients (VRC) that determined by nonlinear functions of regressors and additively separable unobservables. proposes a novel estimator the VRC density based weighted sieve minimum distance. main example bases Hermite which yield numerically...

Abstract This paper proposes an alternative estimation method for cointegration, which allows variation in the leads and lags cointegration relation. The is more powerful than a standard method. Illustrations to annual inflation rates Japan USA seasonal quarterly consumption income shows its ease of use empirical merits.

Structural changes often occur in economics and finance due to preferences, technologies, institutional arrangements, policies, crises, etc. Improving forecast accuracy of economic time series with structural is a long-standing problem. Model averaging aims at providing an insurance against selecting poor model. All existing model approaches the literature are designed constant (non-time-varyin...

Model predictive controller is widely used in industrial plants. Uncertainty is one of the critical issues in real systems. In this paper, the direct adaptive Simplified Model Predictive Control (SMPC) is proposed for unknown or time varying plants with uncertainties. By estimating the plant step response in each sample, the controller is designed and the controller coefficients are directly ca...