Specification of varying coefficient time series models via generalized flexible least squares

DOI10.1016/0304-4076(94)01692-5zbMath0834.62087OpenAlexW2111414066MaRDI QIDQ1906296

Helmut Herwartz, Helmut Lütkepohl

Publication date: 8 April 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01692-5

zbMATH Keywords

time-varying coefficientstime series modelsseasonal variationperiodic modelsflexile least squares

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

A nonparametric method to estimate time varying coefficients under seasonal constraints ⋮ A multicriteria approach to model specification and estimation ⋮ An algorithm to estimate time-varying parameter SURE models under different types of restriction ⋮ Nonparametric estimation of time varying parameters under shape restrictions

Cites Work

• Unnamed Item
• Time-varying linear regression via flexible least squares
• Flexible least squares for approximately linear systems

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