Transfer Function Models with Time-Varying Coefficients

Maria Sílvia de A. Moura, Pedro A. Morettin, Clélia M. C. Toloi and Chang Chiann

Journal of Probability and Statistics, 2012, vol. 2012, 1-31

Abstract:

We consider a transfer function model with time-varying coefficients. We propose an estimation procedure, based on the least squares method and wavelet expansions of the time-varying coefficients. We discuss some statistical properties of the estimators and assess the validity of the methodology through a simulation study. We also present an application of the proposed procedure to a real pair of series.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljps:451076

DOI: 10.1155/2012/451076

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