Specification of varying coefficient time series models via generalized flexible least squares

DOI10.1016/0304-4076(94)01692-5MaRDI QIDQ1906296zbMATH OpenOpenAlexFDO

Authors Helmut Herwartz, Helmut Lütkepohl

Publication date 8 April 1996

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(94)01692-5

zbMATH Keywords

time series modelstime-varying coefficientsseasonal variationperiodic modelsflexile least squares

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 51202 (Why is no real title available?)
• Flexible least squares for approximately linear systems
• Time-varying linear regression via flexible least squares

Cited in

(8)

• Time-varying coefficient models: A comparison of alternative estimation strategies
• A FORTRAN program for time-varying linear regression via flexible least squares
• A nonparametric method to estimate time varying coefficients under seasonal constraints
• A multicriteria approach to model specification and estimation
• Time-varying linear regression via flexible least squares
• Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes
• Nonparametric estimation of time varying parameters under shape restrictions
• An algorithm to estimate time-varying parameter SURE models under different types of restriction

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