کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5097320 1376582 2008 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Adaptive estimation of autoregressive models with time-varying variances
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Adaptive estimation of autoregressive models with time-varying variances
چکیده انگلیسی
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 or combinations of the two. This paper develops kernel-based estimators of the residual variances and associated adaptive least squares (ALS) estimators of the autoregressive coefficients. Simulations show that efficiency gains are achieved by the adaptive procedure.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 142, Issue 1, January 2008, Pages 265-280
نویسندگان
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