Estimating Deterministically Time-Varying Variances in Regression Models

George Kapetanios

No 540, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: The problem of structural change justifiably attracts considerable attention in econometrics. A number of different paradigms have been adopted ranging from structural breaks which are sudden and rare to time varying coefficient models which exhibit structural change more frequently and continuously. This paper is concerned with parametric econometric models whose coefficients change deterministically and smoothly over time. In particular we provide a new estimator for unconditional time varying variances in regression models. A small Monte Carlo study indicates that the method works reasonably well for moderately large sample sizes.

Keywords: Structural change; Non-stationarity; Deterministic time-variation (search for similar items in EconPapers)
JEL-codes: C10 C14 (search for similar items in EconPapers)
Date: 2005-05-01
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Estimating deterministically time-varying variances in regression models (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:540

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