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Estimating Deterministically Time-Varying Variances in Regression Models

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  • George Kapetanios

    ()
    (Queen Mary, University of London)

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    Abstract

    The problem of structural change justifiably attracts considerable attention in econometrics. A number of different paradigms have been adopted ranging from structural breaks which are sudden and rare to time varying coefficient models which exhibit structural change more frequently and continuously. This paper is concerned with parametric econometric models whose coefficients change deterministically and smoothly over time. In particular we provide a new estimator for unconditional time varying variances in regression models. A small Monte Carlo study indicates that the method works reasonably well for moderately large sample sizes.

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    File URL: http://www.econ.qmul.ac.uk/papers/doc/wp540.pdf
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    Bibliographic Info

    Paper provided by Queen Mary, University of London, School of Economics and Finance in its series Working Papers with number 540.

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    Date of creation: May 2005
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    Handle: RePEc:qmw:qmwecw:wp540

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    Related research

    Keywords: Structural change; Non-stationarity; Deterministic time-variation;

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    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).
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