Parameter Estimation of Varying Coefficients Structural EV Model with Time Series

被引：1
|
作者：
Yan Yun SU [1 ]
Heng Jian CUI [2 ]
Kai Can LI [1 ]
机构：
[1] School of Mathematics and Statistics,Hubei Normal University
[2] School of Mathematical Sciences,Capital Normal
来源：
Acta Mathematica Sinica | 2017年 / 33卷 / 05期
关键词：
D O I：
暂无
中图分类号：
O212 [数理统计];
学科分类号：
摘要：
In this paper, the parameters of a p-dimensional linear structural EV(error-in-variable)model are estimated when the coefficients vary with a real variable and the model error is time series.The adjust weighted least squares(AWLS) method is used to estimate the parameters. It is shown that the estimators are weakly consistent and asymptotically normal, and the optimal convergence rate is also obtained. Simulations study are undertaken to illustrate our AWLSEs have good performance.
引用
收藏
页码：607 / 619
页数：13
相关论文
共 50 条
  • [1] Parameter Estimation of Varying Coefficients Structural EV Model with Time Series
    Su, Yan Yun
    Cui, Heng Jian
    Li, Kai Can
    ACTA MATHEMATICA SINICA-ENGLISH SERIES, 2017, 33 (05) : 607 - 619
  • [2] Parameter Estimation of Varying Coefficients Structural EV Model with Time Series
    Yan Yun SU
    Heng Jian CUI
    Kai Can LI
    Acta Mathematica Sinica,English Series, 2017, (05) : 607 - 619
  • [3] Parameter estimation of varying coefficients structural EV model with time series
    Yan Yun Su
    Heng Jian Cui
    Kai Can Li
    Acta Mathematica Sinica, English Series, 2017, 33 : 607 - 619
  • [4] Estimation of some bilinear time series models with time varying coefficients
    Bibi, A
    Oyet, AJ
    STOCHASTIC ANALYSIS AND APPLICATIONS, 2004, 22 (02) : 355 - 376
  • [5] Parameter estimation of time varying mixed AR model
    Kong Zhi Li Lun Yu Ying Yong, 5 (733-735, 738):
  • [6] Research on parameter estimation of time-varying AR model
    Wang, WH
    Wang, WX
    PIMRC 2003: 14TH IEEE 2003 INTERNATIONAL SYMPOSIUM ON PERSONAL, INDOOR AND MOBILE RADIO COMMUNICATIONS PROCEEDINGS, VOLS 1-3 2003, 2003, : 2378 - 2382
  • [7] A time-varying parameter structural model of the UK economy
    Kapetanios, George
    Masolo, Riccardo M.
    Petrova, Katerina
    Waldron, Matthew
    JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2019, 106
  • [8] Parameter stability in the market model: Tests and time varying parameter estimation with UK data
    Coutts, JA
    Roberts, J
    Mills, TC
    JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES D-THE STATISTICIAN, 1997, 46 (01) : 57 - 70
  • [9] A　New　Parameter　Estimation　Algorithm　of　Multivariable　Time　Series　Model
    Wu Qinglie Xu Nanrong (School of Economics & Management
    JOURNAL OF SOUTHEAST UNIVWRSITY(ENGLED.)., 1996, (01) : 100 - 105
  • [10] Forecasting tourist arrivals using time-varying parameter structural time series models
    Song, Haiyan
    Li, Gang
    Witt, Stephen F.
    Athanasopoulos, George
    INTERNATIONAL JOURNAL OF FORECASTING, 2011, 27 (03) : 855 - 869
12345