Estimation of Time -Varying Linear Regression with Unknown Time -Volatility via Continuous Generalization of the Akaike Information Criterion

Abstract

The problem of estimating time-varying regression is inevitably concerned with the necessity to choose the appropriate level of model volatility ranging from the full stationarity of instant regression models to their absolute independence of each other. In the stationary case the number of regression coefficients to be estimated equals that of regressors… (More)

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