Adaptive estimation of AR (∞) models with time-varying variances

被引：2
|
作者：
Zhang, Erhua [1 ]
Wu, Jilin [2 ,3 ]
机构：
[1] Ningbo Univ, Sch Business, Ningbo, Peoples R China
[2] Xiamen Univ, Sch Econ, Dept Finance, Xiamen, Peoples R China
[3] Xiamen Univ, Wang Yanan Inst Studies Econ WISE, Xiamen, Peoples R China
来源：
ECONOMICS LETTERS | 2020年 / 197卷
关键词：
Time-varying variances; Sieve approximation; Adaptive estimation; Lag selection; UNIT-ROOT TESTS; AUTOREGRESSIVE MODELS; INFERENCE; SERIES;
D O I：
10.1016/j.econlet.2020.109641
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper considers adaptive estimation of AR (infinity) models under time-varying variances of unknown forms. We utilize the sieve method to approximate the autoregressive model of infinite order, and then develop kernel-based estimators of the residual variances and associated adaptive least squares (ALS) estimators of the autoregressive coefficients. We prove the ALS estimator has the same efficiency as its infeasible counterpart. Simulation results show the adaptive procedure can help achieve efficiency gains in finite samples. (C) 2020 Elsevier B.V. All rights reserved.
引用
收藏
页数：5
相关论文
共 50 条
  • [1] Adaptive estimation of autoregressive models with time-varying variances
    Xu, Ke-Li
    Phillips, Peter C. B.
    [J]. JOURNAL OF ECONOMETRICS, 2008, 142 (01) : 265 - 280
  • [2] Adaptive Estimation of Time-Varying Parameters in AR Models with Variable Forgetting Factor
    Kvascev, Goran
    Durovic, Zeljko
    Kovacevic, Branko
    Kovacevic, Ivana Kostic
    [J]. 2014 17TH IEEE MEDITERRANEAN ELECTROTECHNICAL CONFERENCE (MELECON), 2014, : 68 - 73
  • [3] Estimating deterministically time-varying variances in regression models
    Kapetanios, George
    [J]. ECONOMICS LETTERS, 2007, 97 (02) : 97 - 104
  • [4] Stochastic frontier models with time-varying conditional variances
    Tsionas, Mike G.
    Kumbhakar, Subal C.
    [J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2021, 292 (03) : 1115 - 1132
  • [5] TIME-VARYING SPECTRAL ESTIMATION USING AR MODELS WITH VARIABLE FORGETTING FACTORS
    CHO, YS
    KIM, SB
    POWERS, EJ
    [J]. IEEE TRANSACTIONS ON SIGNAL PROCESSING, 1991, 39 (06) : 1422 - 1426
  • [6] Empirical likelihood inference in autoregressive models with time-varying variances
    Han, Yu
    Zhang, Chunming
    [J]. STATISTICAL THEORY AND RELATED FIELDS, 2022, 6 (02) : 129 - 138
  • [7] Research on parameter estimation of time-varying AR model
    Wang, WH
    Wang, WX
    [J]. PIMRC 2003: 14TH IEEE 2003 INTERNATIONAL SYMPOSIUM ON PERSONAL, INDOOR AND MOBILE RADIO COMMUNICATIONS PROCEEDINGS, VOLS 1-3 2003, 2003, : 2378 - 2382
  • [8] On Estimation of Time-Varying Variances of Source and Noise for Sensor Array Processing
    Pan, Chao
    Chen, Jingdong
    Shi, Guangming
    [J]. IEEE-ACM TRANSACTIONS ON AUDIO SPEECH AND LANGUAGE PROCESSING, 2020, 28 : 2865 - 2879
  • [9] Estimation of time-varying AR models of speech through Gauss-Markov modeling
    Malladi, KM
    Rajakumar, RV
    [J]. 2003 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH, AND SIGNAL PROCESSING, VOL VI, PROCEEDINGS: SIGNAL PROCESSING THEORY AND METHODS, 2003, : 305 - 308
  • [10] Adaptive Estimation of Time-Varying Sparse Signals
    Zahedi, Ramin
    Krakow, Lucas W.
    Chong, Edwin K. P.
    Pezeshki, Ali
    [J]. IEEE ACCESS, 2013, 1 : 449 - 464
12345