Article ID Journal Published Year Pages File Type
5062231 Economics Letters 2007 8 Pages PDF
Abstract

This paper is concerned with parametric econometric models whose coefficients change deterministically over time. 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.

Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Estimating deterministically time-varying variances in regression models
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