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Specification of varying coefficient time series models via generalized flexible least squares

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  • Lutkepohl, Helmut
  • Herwartz, Helmut

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 70 (1996)
Issue (Month): 1 (January)
Pages: 261-290

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Handle: RePEc:eee:econom:v:70:y:1996:i:1:p:261-290

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Kalaba, Robert E. & Rasakhoo, N. & Tesfatsion, Leigh S., 1989. "A Fortran Program for Time-Varying Linear Regression Via Flexible Least Squares," Staff General Research Papers 11195, Iowa State University, Department of Economics.
  2. Kalaba, Robert E. & Tesfatsion, Leigh S., 1990. "Flexible Least Squares for Approximately Linear Systems," Staff General Research Papers 11190, Iowa State University, Department of Economics.
  3. Kalaba, Robert E. & Tesfatsion, Leigh S., 1989. "Time-Varying Linear Regression Via Flexible Least Squares," Staff General Research Papers 11196, Iowa State University, Department of Economics.
  4. Osborn, Denise R, et al, 1988. "Seasonality and the Order of Integration for Consumption," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 50(4), pages 361-77, November.
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Cited by:
  1. Rodríguez Poo, Juan M. & Ferreira García, María Eva & Orbe Mandaluniz, Susan, 2001. "Nonparametric estimation of time varying parameters under shape restrictions," BILTOKI 2001-02, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  2. Vêlayoudom Marimoutou & Denis Peguin & Anne Peguin-Feissolle, 2009. "The "distance-varying" gravity model in international economics: is the distance an obstacle to trade?," Economics Bulletin, AccessEcon, vol. 29(2), pages 1139-1155.
  3. Esteban González, María Victoria & Orbe Mandaluniz, Susan, 2006. "Nonparametric estimation betas in the Market Model," BILTOKI 2006-03, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  4. He, Ling T., 2005. "Instability and predictability of factor betas of industrial stocks: The Flexible Least Squares solutions," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 619-640, September.
  5. Berzins, Janis & Liu, Crocker H. & Trzcinka, Charles, 2013. "Asset management and investment banking," Journal of Financial Economics, Elsevier, vol. 110(1), pages 215-231.
  6. Ralf Becker & Walter Enders & A. Stan Hurn, 2001. "Testing for Time Dependence in Parameters," Research Paper Series 58, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. Luis Fernando Melo Velandia & Martha Alicia Misas Arango, 2004. "Modelos Estructurales de Inflación en Colombia: Estimación a través de Mínimos Cuadrados Flexibles," BORRADORES DE ECONOMIA 003244, BANCO DE LA REPÚBLICA.
  8. Dimitris K. Christopoulos & Miguel Leon-Ledesma, 2008. "Testing for Granger (non)-Causality in a Time Varying Coefficient VAR Model," Studies in Economics 0802, Department of Economics, University of Kent.
  9. Markus Ebner & Thorsten Neumann, 2005. "Time-Varying Betas of German Stock Returns," Financial Markets and Portfolio Management, Springer, vol. 19(1), pages 29-46, June.
  10. Kuethe, Todd H. & Foster, Kenneth A. & Florax, Raymond J.G.M., 2008. "A Spatial Hedonic Model with Time-Varying Parameters: A New Method Using Flexible Least Squares," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6306, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  11. Orbe, Susan & Ferreira, Eva & Rodriguez-Poo, Juan, 2003. "An algorithm to estimate time-varying parameter SURE models under different types of restriction," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 363-383, March.

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