Arbeitspapier
Estimating deterministically time-varying variances in regression models
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 deterministically and smoothly over time. In particular we provide a new estimator for unconditional time varying variances in regression models. A small Monte Carlo study indicates that the method works reasonably well for moderately large sample sizes.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 540
Klassifikation
Wirtschaft
Econometric and Statistical Methods and Methodology: General
Semiparametric and Nonparametric Methods: General
Econometric and Statistical Methods and Methodology: General
Semiparametric and Nonparametric Methods: General
Thema
Structural change, Non-stationarity, Deterministic time-variation
Strukturbruch
Regression
Schätztheorie
Strukturbruch
Regression
Schätztheorie
Ereignis
Geistige Schöpfung
(wer)
Kapetanios, George
Ereignis
Veröffentlichung
(wer)
Queen Mary University of London, Department of Economics
(wo)
London
(wann)
2005
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:22 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kapetanios, George
- Queen Mary University of London, Department of Economics
Entstanden
- 2005
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