Linear models with time-varying parameters: a comparison of different approaches

被引：3
|
作者：
Lucchetti, Riccardo Jack [1 ]
Valentini, Francesco [1 ]
机构：
[1] Univ Politecn Marche, Dipartimento Sci Econ & Sociali, Piazzale R Martelli 8, I-60121 Ancona, Italy
来源：
COMPUTATIONAL STATISTICS | 2024年 / 39卷 / 07期
关键词：
Time-varying parameters; Linear model; Gretl; SERIES MODELS; SPECIFICATION; INFERENCE;
D O I：
10.1007/s00180-023-01452-3
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Estimation of linear models with time-varying parameters can be accomplished in a variety of ways, each making different assumptions, with varying degrees of accuracy and computational complexity. In this paper, we compare different gretl packages by means of simulated and real data focusing on both statistical and computational aspects. Our findings show that all the estimators provide similar results under ideal conditions, but the practitioner's choice could be far from obvious.
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页码：3523 / 3545
页数：23
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