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Detecting for Smooth Structural Changes in GARCH Models
GARCH Local smoothing Parameter constancy QMLE Smooth structural change
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2011/4/2
Detecting and modelling structural changes in GARCH processes have attracted increasing attention in time series econometrics. In this paper, we propose a new approach to testing structural changes in...
Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models
Bandwidth selection Boundary effect Covariance estimation Kernel smoothing method Nonlinear time series Quantile regression Value-at-risk Varying coefficients
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2011/4/2
We suggest quantile regression methods for a class of smooth coefficient time series models. We use both local polynomial and local constant fitting schemes to estimate the smooth coefficients in a qu...
Nonparametric Quantile Estimations For Dynamic Smooth Coefficient Models
Bandwidth selection boundary effect covariance estimation kernel smoothing methods nonlinear time series quantile regression value-at-risk varying coefficients
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2011/4/6
In this paper, quantile regression methods are suggested for a class of smooth coefficient time series models. We employ a local polynomial fitting scheme to estimate the smooth coefficients in a quan...