Showing 1 - 10 of 179
Persistent link: https://www.econbiz.de/10009713007
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 kernel...
Persistent link: https://www.econbiz.de/10013086871
Persistent link: https://www.econbiz.de/10011780647
Persistent link: https://www.econbiz.de/10011780648
Persistent link: https://www.econbiz.de/10011781131
Persistent link: https://www.econbiz.de/10011781659
Persistent link: https://www.econbiz.de/10012175865
Persistent link: https://www.econbiz.de/10012181352
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. Our experience...
Persistent link: https://www.econbiz.de/10014145762
In this paper, we propose three new predictive models: the multi-step nonparametric predictive regression model and the multi-step additive predictive regression model, in which the predictive variables are locally stationary time series; and the multi-step time-varying coefficient predictive...
Persistent link: https://www.econbiz.de/10011775136