Search Results - subject:"stochastic regressors"

Posterior Odds Testing for a Unit Root with Data-Based Model Selection

Phillips, Peter C.B.; Ploberger, Werner - Cowles Foundation for Research in Economics, Yale University - 1992

models with stochastic regressors. The implied "Bayes model" has time varying parameters and conditionally heterogeneous …

Persistent link: https://www.econbiz.de/10005593185

Stochastic regression model with heteroscedastic disturbance

Chang, Der-Shin; Lin, Guan-Chyun - In: Annals of the Institute of Statistical Mathematics 47 (1995) 2, pp. 351-369

Persistent link: https://www.econbiz.de/10005616227

Asymptotic properties of least-squares estimators in seminar- tingale regression models

Christopeit, N. - University of Bonn, Germany

Persistent link: https://www.econbiz.de/10005028403

Strong consistency of least squares estimators in the monotone regression model with stochastic regressors

Christopeit, N.; Tosstorff, G. - University of Bonn, Germany

Persistent link: https://www.econbiz.de/10005028413

Generalized dynamic linear models for financial time series

Patrizia, Campagnoli; Pietro, Muliere; Sonia, Petrone - Facoltà di Economia, Università degli Studi dell'Insubria

In this paper we consider a class of conditionally Gaussian state space models and discuss how they can provide a flexible and fairly simple tool for modelling financial time series, even in presence of different components in the series, or of stochastic volatility. Estimation can be computed...

Persistent link: https://www.econbiz.de/10005827403