Showing 611 - 618 of 618
Persistent link: https://www.econbiz.de/10005228676
This study applies the nonparametric estimation procedure to the diffusion process modeling the dynamics of short-term interest rates. This approach allows us to operate in continuous time, estimating the continuous-time model, despite the use of discrete data. Three methods are proposed. We...
Persistent link: https://www.econbiz.de/10005564816
In this paper, we introduce a new class of bivariate threshold VAR cointegration models. In the models, outside a compact region, the processes are cointegrated, while in the compact region, we allow different kinds of possibilities. We show that the bivariate processes from a 1/2-null recurrent...
Persistent link: https://www.econbiz.de/10011193729
Bandwidth plays an important role in determining the performance of local linear estimators. In this paper, we propose a Bayesian approach to bandwidth selection for local linear estimation of time–varying coefficient time series models, where the errors are assumed to follow the Gaussian...
Persistent link: https://www.econbiz.de/10011141013
Since conventional cross–validation bandwidth selection methods don’t work for the case where the data considered are dependent time series, alternative bandwidth selection methods are needed. In recent years, Bayesian based global bandwidth selection methods have been proposed....
Persistent link: https://www.econbiz.de/10011141017
Semiparametric time series regression is often used without checking its suitability, resulting in an unnecessarily complicated model. In practice, one may encounter computational difficulties caused by the curse of dimensionality. The paper suggests that to provide more precise predictions we...
Persistent link: https://www.econbiz.de/10005658897
This paper studies a general class of nonlinear varying coefficient time series models with possible nonstationarity in both the regressors and the varying coffiecient components. The model accommodates a cointegrating structure and allows for endogeneity with contemporaneous correlation among...
Persistent link: https://www.econbiz.de/10010895669
Persistent link: https://www.econbiz.de/10015073806