Linear models with time-varying parameters: a comparison of different approaches

被引：3

作者：

Lucchetti, Riccardo Jack ^{[1
]}

Valentini, Francesco ^{[1
]}

机构：

[1] Univ Politecn Marche, Dipartimento Sci Econ & Sociali, Piazzale R Martelli 8, I-60121 Ancona, Italy

来源：

COMPUTATIONAL STATISTICS | 2024年 / 39卷 / 07期

关键词：

Time-varying parameters; Linear model; Gretl; SERIES MODELS; SPECIFICATION; INFERENCE;

D O I：

10.1007/s00180-023-01452-3

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Estimation of linear models with time-varying parameters can be accomplished in a variety of ways, each making different assumptions, with varying degrees of accuracy and computational complexity. In this paper, we compare different gretl packages by means of simulated and real data focusing on both statistical and computational aspects. Our findings show that all the estimators provide similar results under ideal conditions, but the practitioner's choice could be far from obvious.

引用

页码：3523 / 3545

页数：23

共 50 条

[41] Estimation of time-varying parameters in statistical models: An optimization approach
Sloan School of Management, Operations Research Center, MIT, Cambridge, MA 02139, United States
不详
不详
不详
Mach Learn, 3 (225-245):
[42] Semiparametric model building for regression models with time-varying parameters
Zhang, Ting
JOURNAL OF ECONOMETRICS, 2015, 187 (01) : 189 - 200
[43] ANALYSIS ON THE TIME-VARYING GAP OF DISCRETE TIME-VARYING LINEAR SYSTEMS
Liu, Liu
Lu, Yufeng
OPERATORS AND MATRICES, 2017, 11 (02): : 533 - 555
[44] Dual Control of Linear Discrete-Time Systems with Time-Varying Parameters
Rosdahl, Christian
Bernhardsson, Bo
2020 INTERNATIONAL CONFERENCE ON CONTROL, AUTOMATION AND DIAGNOSIS (ICCAD), 2020, : 98 - 103
[45] Time-varying parameters prediction
Grillenzoni, C
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2000, 52 (01) : 108 - 122
[46] Time-Varying Parameters Prediction
Carlo Grillenzoni
Annals of the Institute of Statistical Mathematics, 2000, 52 : 108 - 122
[47] Estimating linear time-invariant models of nonlinear time-varying systems
Ljung, L
EUROPEAN JOURNAL OF CONTROL, 2001, 7 (2-3) : 203 - 219
[48] Applicability of different loudness models to time-varying sound of vehicle
Zhang J.
Zhang L.
Yu J.
Tongji Daxue Xuebao/Journal of Tongji University, 2010, 38 (09): : 1345 - 1349
[49] Robust H∞ filtering for linear discrete-time state-space models with uncertain time-varying parameters
Barbosa, KA
Trofino, A
de Souza, CE
2002 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH, AND SIGNAL PROCESSING, VOLS I-IV, PROCEEDINGS, 2002, : 1389 - 1392
[50] RECURSIVE ESTIMATION OF TIME-VARYING PARAMETERS OF A LINEAR-REGRESSION MODEL
INDJEHAGOPIAN, JP
RAIRO-RECHERCHE OPERATIONNELLE-OPERATIONS RESEARCH, 1981, 15 (01): : 39 - 49

← 1 2 3 4 5 →