局部时变参数回归

IF 0.8 4区经济学 Q3 ECONOMICS

Econometric Reviews Pub Date : 2024-04-10 DOI:10.1080/07474938.2024.2330127

Zhongfang He

引用次数: 0

摘要

我讨论了一个允许时变参数回归模型动态稀疏性的框架。时变参数创新值的条件方差是时变的，且等于 ze...

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Locally time-varying parameter regression

I discuss a framework to allow dynamic sparsity in time-varying parameter regression models. The conditional variances of the innovations of time-varying parameters are time varying and equal to ze...

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来源期刊

Econometric Reviews 管理科学-数学跨学科应用

CiteScore

1.70

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Econometric Reviews is widely regarded as one of the top 5 core journals in econometrics. It probes the limits of econometric knowledge, featuring regular, state-of-the-art single blind refereed articles and book reviews. ER has been consistently the leader and innovator in its acclaimed retrospective and critical surveys and interchanges on current or developing topics. Special issues of the journal are developed by a world-renowned editorial board. These bring together leading experts from econometrics and beyond. Reviews of books and software are also within the scope of the journal. Its content is expressly intended to reach beyond econometrics and advanced empirical economics, to statistics and other social sciences.