Publication Type
Journal Article
Version
publishedVersion
Publication Date
1-2008
Abstract
Stable autoregressive models are considered with martingale differences errors scaled by an unknown nonparametric time-varying function generating heterogeneity. An important special case involves structural change in the error variance, but in most practical cases the pattern of variance change over time is unknown and may involve shifts at unknown discrete points in time, continuous evolution or combinations of the two. This paper develops kernel-based estimators of the residual variances and associated adaptive least squares (ALS) estimators of the autoregressive coefficients. Simulations show that efficiency gains are achieved by the adaptive procedure.
Keywords
Adaptive estimation, Autoregression, Heterogeneity, Nonstationary volatility, Weighted regression
Discipline
Econometrics
Research Areas
Econometrics
Publication
Journal of Econometrics
Volume
142
Issue
1
First Page
265
Last Page
285
ISSN
0304-4076
Identifier
10.1016/j.jeconom.2007.06.001
Publisher
Elsevier
Citation
XU, Ke-Li and PHILLIPS, Peter C. B..
Adaptive Estimation of Autoregressive Models with Time-Varying Variances. (2008). Journal of Econometrics. 142, (1), 265-285.
Available at: https://ink.library.smu.edu.sg/soe_research/288
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.jeconom.2007.06.001