Two-stage method based on local polynomial fitting for a linear heteroscedastic regression model and its application in economics (Q444283): Difference between revisions
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Property / author: Li-Yun Su / rank | |||
Property / author | |||
Property / author: Yan-Yong Zhao / rank | |||
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Property / author: Li-Yun Su / rank | |||
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Property / author | |||
Property / author: Yan-Yong Zhao / rank | |||
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Summary: We introduce the extension of local polynomial fitting to the linear heteroscedastic regression model. Firstly, the local polynomial fitting is applied to estimate heteroscedastic function, then the coefficients of regression model are obtained by using generalized least squares method. One noteworthy feature of our approach is that we avoid the testing for heteroscedasticity by improving the traditional two-stage method. Due to nonparametric technique of local polynomial estimation, we do not need to know the heteroscedastic function. Therefore, we can improve the estimation precision, when the heteroscedastic function is unknown. Furthermore, we focus on comparison of parameters and reach an optimal fitting. Besides, we verify the asymptotic normality of parameters based on numerical simulations. Finally, this approach is applied to a case of economics, and it indicates that our method is surely effective in finite-sample situations. | |||
Property / review text: Summary: We introduce the extension of local polynomial fitting to the linear heteroscedastic regression model. Firstly, the local polynomial fitting is applied to estimate heteroscedastic function, then the coefficients of regression model are obtained by using generalized least squares method. One noteworthy feature of our approach is that we avoid the testing for heteroscedasticity by improving the traditional two-stage method. Due to nonparametric technique of local polynomial estimation, we do not need to know the heteroscedastic function. Therefore, we can improve the estimation precision, when the heteroscedastic function is unknown. Furthermore, we focus on comparison of parameters and reach an optimal fitting. Besides, we verify the asymptotic normality of parameters based on numerical simulations. Finally, this approach is applied to a case of economics, and it indicates that our method is surely effective in finite-sample situations. / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 65D10 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62G08 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91B82 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6065438 / rank | |||
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Property / zbMATH Keywords | |||
local polynomial fitting | |||
Property / zbMATH Keywords: local polynomial fitting / rank | |||
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Property / zbMATH Keywords | |||
linear heteroscedastic regression model | |||
Property / zbMATH Keywords: linear heteroscedastic regression model / rank | |||
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Property / Wikidata QID | |||
Property / Wikidata QID: Q58700715 / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1155/2012/696927 / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W2064690456 / rank | |||
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Latest revision as of 14:03, 5 July 2024
scientific article
Language | Label | Description | Also known as |
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English | Two-stage method based on local polynomial fitting for a linear heteroscedastic regression model and its application in economics |
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Statements
Two-stage method based on local polynomial fitting for a linear heteroscedastic regression model and its application in economics (English)
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14 August 2012
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Summary: We introduce the extension of local polynomial fitting to the linear heteroscedastic regression model. Firstly, the local polynomial fitting is applied to estimate heteroscedastic function, then the coefficients of regression model are obtained by using generalized least squares method. One noteworthy feature of our approach is that we avoid the testing for heteroscedasticity by improving the traditional two-stage method. Due to nonparametric technique of local polynomial estimation, we do not need to know the heteroscedastic function. Therefore, we can improve the estimation precision, when the heteroscedastic function is unknown. Furthermore, we focus on comparison of parameters and reach an optimal fitting. Besides, we verify the asymptotic normality of parameters based on numerical simulations. Finally, this approach is applied to a case of economics, and it indicates that our method is surely effective in finite-sample situations.
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local polynomial fitting
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linear heteroscedastic regression model
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