Two-stage method based on local polynomial fitting for a linear heteroscedastic regression model and its application in economics (Q444283): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
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. | |||
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 | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 65D10 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62G08 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91B82 / rank | |||
Normal rank | |||
Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6065438 / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
local polynomial fitting | |||
Property / zbMATH Keywords: local polynomial fitting / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
linear heteroscedastic regression model | |||
Property / zbMATH Keywords: linear heteroscedastic regression model / rank | |||
Normal rank |
Revision as of 02:47, 30 June 2023
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Two-stage method based on local polynomial fitting for a linear heteroscedastic regression model and its application in economics |
scientific article |
Statements
Two-stage method based on local polynomial fitting for a linear heteroscedastic regression model and its application in economics (English)
0 references
14 August 2012
0 references
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.
0 references
local polynomial fitting
0 references
linear heteroscedastic regression model
0 references