Estimating deterministically time-varying variances in regression models

DOI10.1016/j.econlet.2007.02.019zbMath1255.91356OpenAlexW2028786793MaRDI QIDQ1934157

George Kapetanios

Publication date: 28 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/62807

zbMATH Keywords

structural changenon-stationaritydeterministic time-variation

Mathematics Subject Classification ID

Point estimation (62F10) Economic time series analysis (91B84) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (1)

Adaptive forecasting in the presence of recent and ongoing structural change

Cites Work

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• Nonparametric estimation of time varying parameters under shape restrictions
• Consistent nonparametric multiple regression for dependent heterogeneous processes: the fixed design case
• Fitting time series models to nonstationary processes
• NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR
• Non-linear regression for multiple time-series

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