Metodebevisregistrering

Time-varying parameter WLS

Time-Varying Parameter WLS is a regression technique for time-series data in which the slope and intercept coefficients are allowed to change over time while observations are weighted to account for heteroscedasticity or to discount distant data. It combines the flexibility of state-space coefficient evolution with the variance-correcting power of weighted least squares.

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Kilderegistrering

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Time-Varying Parameter Weighted Least Squares

Taksonomisk metoderegistrering · regression-model / econometrics

Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. · ISBN 978-0521405737
Cooley, T. F., & Prescott, E. C. (1976). Estimation in the Presence of Stochastic Parameter Variation. Econometrica, 44(1), 167–184. · URL

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Relaterede metoder

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Same method familyState Space Modelmachine-suggested · Relational suggestion, not evidence.Same method familyWeighted Least Squaresmachine-suggested · Relational suggestion, not evidence.