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Estimating Deterministically Time-Varying Variances in Regression Models

Author

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  • George Kapetanios

    (Queen Mary, University of London)

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.

Suggested Citation

  • George Kapetanios, 2005. "Estimating Deterministically Time-Varying Variances in Regression Models," Working Papers 540, Queen Mary University of London, School of Economics and Finance.
    • Handle: RePEc:qmw:qmwecw:540
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    References listed on IDEAS

    as
    1. Ziegelmann, Flavio A., 2002. "Nonparametric Estimation Of Volatility Functions: The Local Exponential Estimator," Econometric Theory, Cambridge University Press, vol. 18(4), pages 985-991, August.
    2. Fan, Y., 1990. "Consistent nonparametric multiple regression for dependent heterogeneous processes: The fixed design case," Journal of Multivariate Analysis, Elsevier, vol. 33(1), pages 72-88, April.
    3. Orbe, Susan & Ferreira, Eva & Rodriguez-Poo, Juan, 2005. "Nonparametric estimation of time varying parameters under shape restrictions," Journal of Econometrics, Elsevier, vol. 126(1), pages 53-77, May.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Giraitis, Liudas & Kapetanios, George & Price, Simon, 2013. "Adaptive forecasting in the presence of recent and ongoing structural change," Journal of Econometrics, Elsevier, vol. 177(2), pages 153-170.
    2. Henrik Jensen & Ivan Petrella & Søren Hove Ravn & Emiliano Santoro, 2020. "Leverage and Deepening Business-Cycle Skewness," American Economic Journal: Macroeconomics, American Economic Association, vol. 12(1), pages 245-281, January.
    3. Ferreira, Eva & Gil-Bazo, Javier & Orbe, Susan, 2008. "Nonparametric estimation of conditional beta pricing models," DEE - Working Papers. Business Economics. WB wb082403, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    4. Eklund, Jana & Kapetanios, George & Price, Simon, 2010. "Forecasting in the presence of recent structural change," Bank of England working papers 406, Bank of England.
    5. Ferreira, Eva & Gil-Bazo, Javier & Orbe, Susan, 2011. "Conditional beta pricing models: A nonparametric approach," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3362-3382.
    6. George Kapetanios & Tony Yates, 2014. "Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change," Empirical Economics, Springer, vol. 47(1), pages 305-345, August.
    7. repec:cty:dpaper:12/02 is not listed on IDEAS
    8. George Kapetanios, 2005. "Tests for Deterministic Parametric Structural Change in Regression Models," Working Papers 539, Queen Mary University of London, School of Economics and Finance.
    9. repec:wrk:wrkemf:21 is not listed on IDEAS
    10. repec:ehu:biltok:5563 is not listed on IDEAS
    11. Giraitis, Liudas & Kapetanios, George & Price, Simon, 2013. "Adaptive forecasting in the presence of recent and ongoing structural change," Journal of Econometrics, Elsevier, vol. 177(2), pages 153-170.
    12. George Kapetanios, 2007. "Testing for Strict Stationarity," Working Papers 602, Queen Mary University of London, School of Economics and Finance.

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    More about this item

    Keywords

    Structural change; Non-stationarity; Deterministic time-variation;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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