Performance of adaptive estimators in slowly varying parameter models |
| |
Authors: | Carlo Grillenzoni |
| |
Institution: | (1) University IUAV of Venice, 30135 Venezia, Italy |
| |
Abstract: | This paper analyzes the MSE of the exponentially weighted least squares (EWLS) estimator in dynamic regression models with
time-varying parameters. Under the assumption of differentiable parameter functions, it is derived an asymptotic expression
which is the sum of a stationary and of an evolutionary component. The validity of the analytical expression is illustrated
with simulation experiments, and its usefulness in designing the exponential discounting factor is illustrated on a real case-study.
The practical finding is similar to the plug-in bandwidth selection in nonparametric smoothers. |
| |
Keywords: | Dynamic models Exponential discounting Mean squared error Time-varying parameters Weighted least squares |
本文献已被 SpringerLink 等数据库收录! |