IDEAS home Printed from https://ideas.repec.org/p/ucm/doicae/9408.html
   My bibliography  Save this paper

Una nota sobre la estimación eficiente de modelos con parámetros cambiantes

Author

Listed:
  • Sonia Sotoca López

    (Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid.)

Abstract

Standard estimation procedures for the time-varying parameters model suppose that the variances of the noises in the model are known. Obviously, this assumption is not realistic in most econometric applications. Besides, the results of these methods are sensitive to the initial conditions of the algorithm, a fact that is often overlooked by the literature. In this paper, we propose an extension of the recursive algorithm proposed by Cooley, Rosenberg y Wall (1977), which is independent of initial conditions and includes on-line estimation of all the relevant variances. The results obtained with this method compare favourably with those obtained by standard procedures.

Suggested Citation

  • Sonia Sotoca López, 1994. "Una nota sobre la estimación eficiente de modelos con parámetros cambiantes," Documentos de Trabajo del ICAE 9408, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Handle: RePEc:ucm:doicae:9408
    as

    Download full text from publisher

    File URL: https://eprints.ucm.es/id/eprint/27885/1/9408.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Pagan, Adrian, 1980. "Some identification and estimation results for regression models with stochastically varying coefficients," Journal of Econometrics, Elsevier, vol. 13(3), pages 341-363, August.
    2. Barr Rosenberg, 1973. "The Analysis of a Cross Section of Time Series by Stochastically Convergent Parameter Regression," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 2, number 4, pages 399-428, National Bureau of Economic Research, Inc.
    3. Wolff, Christian C. P., 1988. "Autoregressive conditional heteroscedasticity: A comparison of ARCH and random coefficient models," Economics Letters, Elsevier, vol. 27(2), pages 141-143.
    4. Margaritis, Dimitris, 1990. "A time-varying model of rational learning," Economics Letters, Elsevier, vol. 33(4), pages 309-314, August.
    5. Fabozzi, Frank J. & Francis, Jack Clark, 1978. "Beta as a Random Coefficient," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(1), pages 101-116, March.
    6. Alexander, Gordon J. & Benson, P. George, 1982. "More on Beta as a Random Coefficient," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(1), pages 27-36, March.
    7. Barr Rosenberg, 1973. "A Survey of Stochastic Parameter Regression," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 2, number 4, pages 381-397, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Winston T. Lin, 1999. "Dynamic and Stochastic Instability and the Unbiased Forward Rate Hypothesis: A Variable Mean Response Approach," Multinational Finance Journal, Multinational Finance Journal, vol. 3(3), pages 173-221, September.
    2. Tommaso Proietti & Alessandra Luati, 2013. "Maximum likelihood estimation of time series models: the Kalman filter and beyond," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 15, pages 334-362, Edward Elgar Publishing.
    3. Manuel Monge & Luis A. Gil-Alana, 2020. "The Lithium Industry and Analysis of the Beta Term Structure of Oil Companies," Risks, MDPI, vol. 8(4), pages 1-17, December.
    4. Tucci, Marco P., 1995. "Time-varying parameters: a critical introduction," Structural Change and Economic Dynamics, Elsevier, vol. 6(2), pages 237-260, June.
    5. M. V. Esteban & E. Ferreira & S. Orbe-Mandaluniz, 2015. "Nonparametric methods for estimating and testing for constant betas in asset pricing models," Applied Economics, Taylor & Francis Journals, vol. 47(25), pages 2577-2607, May.
    6. Abdul Rahman & Lawrence Kryzanowski & Ah Boon Sim, 1987. "Systematic Risk In A Purely Random Market Model: Some Empirical Evidence For Individual Public Utilities," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(2), pages 143-152, June.
    7. Brooks, Robert D. & Faff, Robert W. & Yew, Kee Ho, 1997. "A new test of the relationship between regulatory change in financial markets and the stability of beta risk of depository institutions," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 197-219, February.
    8. Piotr Wdowinski, 2004. "Determinants of Country Beta Risk in Poland," CESifo Working Paper Series 1120, CESifo.
    9. Rua, António & Nunes, Luis C., 2012. "A wavelet-based assessment of market risk: The emerging markets case," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 84-92.
    10. Lu, Xun & Su, Liangjun, 2023. "Uniform inference in linear panel data models with two-dimensional heterogeneity," Journal of Econometrics, Elsevier, vol. 235(2), pages 694-719.
    11. K. Giannopoulos, 1995. "Estimating the time Varying Components of international stock markets' risk," The European Journal of Finance, Taylor & Francis Journals, vol. 1(2), pages 129-164.
    12. Panagiotis Samartzis & Nikitas Pittis & Nikolaos Kourogenis & Phoebe Koundouri, 2013. "Factor Models of Stock Returns: GARCH Errors versus Autoregressive Betas," DEOS Working Papers 1318, Athens University of Economics and Business.
    13. Brooks, Robert D. & Faff, Robert W. & Ariff, Mohamed, 1998. "An investigation into the extent of beta instability in the Singapore stock market," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 87-101, May.
    14. Radosław Kurach, 2013. "Does Beta Explain Global Equity Market Volatility – Some Empirical Evidence," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 7(2), June.
    15. Anders Johansson, 2009. "An analysis of dynamic risk in the Greater China equity markets," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 7(3), pages 299-320.
    16. Roman Mestre, 2021. "A wavelet approach of investing behaviors and their effects on risk exposures," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-37, December.
    17. Karakatsani Nektaria V & Bunn Derek W., 2010. "Fundamental and Behavioural Drivers of Electricity Price Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-42, September.
    18. G. Everaert, 2007. "Estimating Long-Run Relationships between Observed Integrated Variables by Unobserved Component Methods," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/452, Ghent University, Faculty of Economics and Business Administration.
    19. Cathy W. S. Chen & Richard H. Gerlach & Ann M. H. Lin, 2011. "Multi-regime nonlinear capital asset pricing models," Quantitative Finance, Taylor & Francis Journals, vol. 11(9), pages 1421-1438, April.
    20. Dana J. Johnson & Richard E. Bennett & Richard J. Curcio, 1979. "A Note On The Deceptive Nature Of Bayesian Forecasted Betas," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 2(1), pages 65-69, March.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ucm:doicae:9408. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Águeda González Abad (email available below). General contact details of provider: https://edirc.repec.org/data/feucmes.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.