An algorithm to estimate time-varying parameter SURE models under different types of restriction

DOI10.1016/S0167-9473(02)00229-3zbMath1429.62690OpenAlexW2125067246MaRDI QIDQ951875

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

Publication date: 4 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(02)00229-3

zbMATH Keywords

nonparametric methodsconstrained estimatorscross restrictionsseasonal restrictions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

Smooth coefficient estimation of a seemingly unrelated regression ⋮ A comparative study of algorithms for solving seemingly unrelated regressions models ⋮ Second special issue on computational econometrics ⋮ Bootstrap-based tests for deterministic time-varying coefficients in regression models ⋮ Efficient algorithms for block downdating of least squares solutions ⋮ Nonparametric estimation of time varying parameters under shape restrictions

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