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Book Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models

Download or read book Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models written by Liudas Giraitis and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article, we introduce the general setting of a multivariate time series autoregressive model with stochastic time-varying coefficients and time-varying conditional variance of the error process. This allows modelling VAR dynamics for non-stationary time series and estimation of time-varying parameter processes by the well-known rolling regression estimation techniques. We establish consistency, convergence rates, and asymptotic normality for kernel estimators of the paths of coefficient processes and provide pointwise valid standard errors. The method is applied to a popular seven-variable dataset to analyse evidence of time variation in empirical objects of interest for the DSGE (dynamic stochastic general equilibrium) literature.

Book Essays in Honour of Fabio Canova

Download or read book Essays in Honour of Fabio Canova written by Juan J. Dolado and published by Emerald Group Publishing. This book was released on 2022-09-21 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.

Book Hierarchical Time varying Mixed effects Models in High dimensional Time Series and Longitudinal Data Studies

Download or read book Hierarchical Time varying Mixed effects Models in High dimensional Time Series and Longitudinal Data Studies written by Jinglan Li and published by . This book was released on 2017 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: Consider a varying coefficient model (Hastie and Tibshirani, 1993), where the coefficient is unknown but is dynamic in the sense that it is a function of a certain covariate. In some cases, the covariate is a special variable 'time'. Motivated by the need for varying-coefficient vector time series models (Jiang, 1999) and varying-coefficient partially linear models (Fan, Huang, and Li, 2007), we are primarily interested in time-varying coefficient models for continuous multivariate time series data and continuous longitudinal data. The challenge is how to simultaneously display serial, clustering, and multivariate attributes of the data set, to which the routinely assumed two-level and univariate response models are not able to apply. We approach this problem by a flexible new model called multiple response hierarchical time-varying mixed-effects model. So far, the thesis has focused on two responses. Extension to >2 responses involves no fundamentally new ideas. The model first uses varying-coefficient parameters for accurately describing the dynamic of the series. The new covariance matrix is decomposed into between-response correlation structure of random cluster effect and correlation structure between measurement errors. By allowing shared cluster effects the model allows for characterizing homogeneity in repeated measurements in the same cluster. By allowing for time dependent error terms, it is possible to model the correlation induced by within-subject variation. We adopt a similar approach of Fan and Gijbels (1996), where we first propose local linear regression estimators for the varying coefficients, and then obtain random effect prediction by maximizing the profile likelihood with a closed-form solution. Asymptotic results give good insight into the properties of estimators. It is shown that estimates are consistent. We also conduct the model comparison, it turns out that the proposed methods outperform the traditional univariate response models, nonparametric models, and linear mixed effects models in both predicting the response and estimating the coefficient surface based on simulation studies. Finally, we have applied this model to a real-world study on the price-volume relation of NASDAQ stock market data.

Book Spurious Predictors in Random Coefficient Modeling

Download or read book Spurious Predictors in Random Coefficient Modeling written by Michael Thomas Braun and published by . This book was released on 2009 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Varying coefficient Models

Download or read book Varying coefficient Models written by Yang Wang and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Inference of High dimensional Linear Models with Time varying Coefficients

Download or read book Inference of High dimensional Linear Models with Time varying Coefficients written by Yifeng He and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Random Coefficient Autoregressive Models An Introduction

Download or read book Random Coefficient Autoregressive Models An Introduction written by D.F. Nicholls and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this monograph we have considered a class of autoregressive models whose coefficients are random. The models have special appeal among the non-linear models so far considered in the statistical literature, in that their analysis is quite tractable. It has been possible to find conditions for stationarity and stability, to derive estimates of the unknown parameters, to establish asymptotic properties of these estimates and to obtain tests of certain hypotheses of interest. We are grateful to many colleagues in both Departments of Statistics at the Australian National University and in the Department of Mathematics at the University of Wo110ngong. Their constructive criticism has aided in the presentation of this monograph. We would also like to thank Dr M. A. Ward of the Department of Mathematics, Australian National University whose program produced, after minor modifications, the "three dimensional" graphs of the log-likelihood functions which appear on pages 83-86. Finally we would like to thank J. Radley, H. Patrikka and D. Hewson for their contributions towards the typing of a difficult manuscript. IV CONTENTS CHAPTER 1 INTRODUCTION 1. 1 Introduction 1 Appendix 1. 1 11 Appendix 1. 2 14 CHAPTER 2 STATIONARITY AND STABILITY 15 2. 1 Introduction 15 2. 2 Singly-Infinite Stationarity 16 2. 3 Doubly-Infinite Stationarity 19 2. 4 The Case of a Unit Eigenvalue 31 2. 5 Stability of RCA Models 33 2. 6 Strict Stationarity 37 Appendix 2. 1 38 CHAPTER 3 LEAST SQUARES ESTIMATION OF SCALAR MODELS 40 3.

Book Changing and Random Coefficient Models

Download or read book Changing and Random Coefficient Models written by Jozef Zbigniew Dziechciarz and published by . This book was released on 2016 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter contains a survey of various econometric model formulations in which it is assumed that coefficients vary across time, Depending on the accepted parameter variation structure one may classify such models into two main groups: models with variable but non stochastic parameter and models with randomly varying coefficients. The latter group consists of two types - models where coefficients are generated from stationary and models in which coefficients are generated from non stationary stochastic processes. Ali three groups are surveyed. Several representative models from each group are shown with special emphasis on estimation, testing the specification and possible fields of implementation. Justification for the various model formulations is given. A detailed list of references ends the survey.

Book Time Varying Coefficient Models

Download or read book Time Varying Coefficient Models written by Stephen G. Hall and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Variable and Random Coefficient Models for Longitudinal Data

Download or read book Variable and Random Coefficient Models for Longitudinal Data written by Jozef Zbigniew Dziechciarz and published by . This book was released on 2013 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: There exist three basic conceptual ways of understanding of parameters in econometric models. Classical parameters are constant and unknown. Varying parameter concept are parameters may vary in random or deterministic way. Bayesian parameters and all their moments are stochastic variables. This work deals with some problems which arises in working with models when recognize second set of assumptions.

Book Varying coefficient Models

Download or read book Varying coefficient Models written by Trevor Hastie and published by . This book was released on 1991 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Statistical Inference in Multivariate Time Series Models

Download or read book Statistical Inference in Multivariate Time Series Models written by Anne Jensen and published by . This book was released on 2016 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Econometrics Routledge Revivals

Download or read book Econometrics Routledge Revivals written by Baldev Raj and published by Routledge. This book was released on 2014-07-16 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 1981, this book considers one particular area of econometrics- the linear model- where significant recent advances have been made. It considers both single and multiequation models with varying co-efficients, explains the various theories and techniques connected with these and goes on to describe the various applications of the models. Whilst the detailed explanation of the models will interest primarily econometrics specialists, the implications of the advances outlined and the applications of the models will intrest a wide range of economists.