Since 2014
Adaptive estimation of heteroskedastic econometric models
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
Adaptive estimation of heteroskedastic econometric models
Adaptive estimation of heteroskedastic econometric models |
|
| Creator |
Robinson, P. M.; London School of Economics.
|
|
| Subject |
—
— — — |
|
| Description |
We focus on the linear model with conditional heteroskedasticity of unknown form. "Adaptive" estimators of the coefficients of the linear model, based on no rigid parameterisation of the heteroskedasticity, but having the same asymptotic efficiency as estimators which do use such information, are surveyed. A small Monte Carlo study of their performance is reported. We describe a modification of the popular paradigm in which the variance is a function of the mean, allowing this function to be of unknown form. We describe a modification also of the autoregressive conditional heteroskedasticity (ARCH) model, in which the heteroskedasticity function is of unknown form.
We focus on the linear model with conditional heteroskedasticity of unknown form. "Adaptive" estimators of the coefficients of the linear model, based on no rigid parameterisation of the heteroskedasticity, but having the same asymptotic efficiency as estimators which do use such information, are surveyed. A small Monte Carlo study of their performance is reported. We describe a modification of the popular paradigm in which the variance is a function of the mean, allowing this function to be of unknown form. We describe a modification also of the autoregressive conditional heteroskedasticity (ARCH) model, in which the heteroskedasticity function is of unknown form. |
|
| Publisher |
Sociedade Brasileira de Econometria
|
|
| Date |
1987-11-02
|
|
| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
|
| Format |
application/pdf
|
|
| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/3098
10.12660/bre.v7n21987.3098 |
|
| Source |
Brazilian Review of Econometrics; Vol 7, No 2 (1987); 5-28
Brazilian Review of Econometrics; Vol 7, No 2 (1987); 5-28 1980-2447 |
|
| Language |
eng
|
|
| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/3098/1989
|
|