Nonparametric estimation of time varying parameters under shape restrictions
In this paper we propose a new method to estimate nonparametrically a time varying parameter model when some qualitative information from outside data (e.g. seasonality) is available. In this framework we make two main contributions. First, the resulting estimator is shown to belong to the class of generalized ridge estimators and under some conditions its rate of convergence is optimal within its smoothness class. Furthermore, if the outside data information is fullfilled by the underlying model, the estimator shows efficiency gains in small sample sizes. Second, for the implementation process, since the estimation procedure envolves the computation of the inverse of a high order matrix we provide an algorithm that avoids this computation and, also, a data-driven method is derived to select the control parameters. The practical performance of the method is demonstrated in a simulation study and in an application to the demand of soft drinks in Canada.
|Date of creation:||Jan 2001|
|Date of revision:|
|Contact details of provider:|| Postal: Avda. Lehendakari, Aguirre, 83, 48015 Bilbao|
Phone: + 34 94 601 3740
Fax: + 34 94 601 4935
Web page: http://www.ea3.ehu.es
More information through EDIRC
|Order Information:|| Postal: Dpto. de Econometría y Estadística, Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cooley, Thomas F & Prescott, Edward C, 1976. "Estimation in the Presence of Stochastic Parameter Variation," Econometrica, Econometric Society, vol. 44(1), pages 167-84, January.
- Ferreira, Eva & Nunez-Anton, Vicente & Rodriguez-Poo, Juan, 2000. "Semiparametric approaches to signal extraction problems in economic time series," Computational Statistics & Data Analysis, Elsevier, vol. 33(3), pages 315-333, May.
- 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.
- Cooley, Thomas F & Prescott, Edward C, 1973. "An Adaptive Regression Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 14(2), pages 364-71, June.
- White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, vol. 52(1), pages 143-61, January.
- Lutkepohl, Helmut & Herwartz, Helmut, 1996. "Specification of varying coefficient time series models via generalized flexible least squares," Journal of Econometrics, Elsevier, vol. 70(1), pages 261-290, January.
- Mark Gersovitz & James G. MacKinnon, 1977. "Seasonality in Regression: An Application of Smoothness Priors," Working Papers 257, Queen's University, Department of Economics.
- P o, Juan M. Rodriguez, 1999. "Constrained Smoothing Splines," Econometric Theory, Cambridge University Press, vol. 15(01), pages 114-138, February.
- Vieu, Philippe, 1991. "Quadratic errors for nonparametric estimates under dependence," Journal of Multivariate Analysis, Elsevier, vol. 39(2), pages 324-347, November.
- Cooley, Thomas F & Prescott, Edward C, 1973. "Tests of an Adaptive Regression Model," The Review of Economics and Statistics, MIT Press, vol. 55(2), pages 248-56, May.
When requesting a correction, please mention this item's handle: RePEc:ehu:biltok:200102. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alcira Macías)
If references are entirely missing, you can add them using this form.