Nonparametric estimation of time varying parameters under shape restrictions

DOI10.1016/j.jeconom.2004.02.006zbMath1334.62064OpenAlexW2120878326MaRDI QIDQ262746

Eva Ferreira, Susan Orbe, Juan M. Rodríguez-Póo

Publication date: 30 March 2016

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

Full work available at URL: http://hdl.handle.net/10902/4640

zbMATH Keywords

seasonalitykernel estimatorsnonparametric regressionlocal stationaritytime varying coefficients

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09)

Related Items (26)

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Uses Software

• KernSmooth

Cites Work

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