Time-varying coefficient estimation in SURE models. Application to portfolio management

Isabel Casas (), Eva Ferreira and Susan Orbe

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: This paper provides a detailed analysis of the asymptotic properties of a kernel estimator for a Seemingly Unrelated Regression Equations model with time-varying coefficients (tv-SURE) under very general conditions. Theoretical results together with a simulation study differentiates the cases for which the estimation of a tv-SURE outperforms the estimation of a Single Regression Equations model with time-varying coefficients (tv-SRE). The study shows that Zellner's results cannot be straightforwardly extended to the time-varying case. The tv-SURE is applied to the Fama and French five-factor model using data from four different international markets. Finally, we provide the estimation under cross-restriction and discuss a testing procedure.

Keywords: Time-varying; Nonparametric; SURE; Five factor model; Asset pricing (search for similar items in EconPapers)
JEL-codes: C01 C14 (search for similar items in EconPapers)
Pages: 36
Date: 2017-10-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Journal Article: Time-Varying Coefficient Estimation in SURE Models. Application to Portfolio Management* (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2017-33

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