A Note on Using State-Dependent Models With a Time-Dependent Variance
Bibliographic Data
| ID | 19418113 |
|---|---|
| Authors | Phillip A Cartwright (0000-0002-1318-393X, University of Georgia, corresponding author) |
| Year | 1984 |
| Volume | 2 |
| Issue | 4 |
| Pages | 410-413 |
| Publication date | 1984-10-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1984.10509417 |
| OpenAlex | W2071048430 |
| Language | EN |
| References cited | 11 |
This research presents an extension of the state-dependent models (SDM) developed by Priestley. For some series, improvement in SDM performance may be achieved by permitting the residual variance to vary through time according to a moving-average scheme
Algorithm · Econometrics · Economics · Mathematical economics · Residual · State dependent · Statistics · Variance components · Aerospace and Aviation Technology · Aerospace Engineering and Applications · Air Traffic Management and Optimization · Computer Science · Mathematics
| Citation velocity | historical |
|---|---|
| Highly cited | No |