Specification of varying coefficient time series models via generalized flexible least squares

Journal of Econometrics

Volumn 70, Issue 1, 1996, Pages 261-290

  Lütkepohl, Helmut ^a   Herwartz, Helmut ^a  

^a HUMBOLDT UNIVERSITY   (Germany)

Author keywords

Flexible least squares; Model selection; Periodic models; Seasonal time series

Indexed keywords

EID: 0346201475     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(94)01692-5     Document Type: Article

References (6)

1. Anděl, J., 1987, On multiple periodic autoregression, Aplikace Mathematiky 28, 364-385.
2. Kalaba, R. and L. Tesfatsion, 1989, Time-varying linear regression via flexible least squares. Computers and Mathematics with Applications 17, 1215-1245.
3. Kalaba, R. and L. Tesfatsion, 1990, Flexible least squares for approximately linear systems, IEEE Transactions on Systems, Man, and Cybernetics SMC-20, 978-989.
4. Lütkepohl, H., 1991, Introduction to multiple time series analysis (Springer-Verlag, Berlin).
5. Osborn, D.R. and A.P. Smith, 1989, The performance of periodic autoregressive models in forecasting seasonal U.K. consumption, Journal of Business and Economic Statistics 7, 117-127.
6. Osborn, D.R., J.P. Smith, C.R. Birchenhall, and A.P.L. Chui, 1988, Seasonality and the order of integration for consumption, Oxford Bulletin of Economics and Statistics 50, 361-377.