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This paper develops a new econometric tool for evolutionary autoregressive models where the AR coefficients change smoothly over time. To estimate the unknown functional form of time-varying coefficients, we propose a mdified local linear smoother. The asymptotic normality and variance of the...
Persistent link: https://www.econbiz.de/10009618358
variable and can cover a wide range of nonlinear dynamic processes. The estimation procedure consists of two steps; local …
Persistent link: https://www.econbiz.de/10009618359