Hadjiantoni, Stella and Kontoghiorghes, Erricos J (2022) An alternative numerical method for estimating large-scale time-varying parameter seemingly unrelated regressions models. Econometrics and Statistics, 21. pp. 1-18. DOI https://doi.org/10.1016/j.ecosta.2020.11.003
Hadjiantoni, Stella and Kontoghiorghes, Erricos J (2022) An alternative numerical method for estimating large-scale time-varying parameter seemingly unrelated regressions models. Econometrics and Statistics, 21. pp. 1-18. DOI https://doi.org/10.1016/j.ecosta.2020.11.003
Hadjiantoni, Stella and Kontoghiorghes, Erricos J (2022) An alternative numerical method for estimating large-scale time-varying parameter seemingly unrelated regressions models. Econometrics and Statistics, 21. pp. 1-18. DOI https://doi.org/10.1016/j.ecosta.2020.11.003
Abstract
A novel numerical method for the estimation of large-scale time-varying parameter seemingly unrelated regression (TVP-SUR) models is proposed. The updating and smoothing estimates of the TVP-SUR model are derived within the context of generalised linear least squares and through numerically stable orthogonal transformations which allow the sequential estimation of the model. The method developed is based on computationally efficient strategies. The computational cost is reduced by exploiting the special sparse structure of the TVP-SUR model and by utilising previous computations. The proposed method is also extended to the rolling window estimation of the TVP model. Experimental results show the effectiveness of the new updating, rolling window and smoothing strategies in high dimensions when a large number of covariates and regressions are included in the TVP-SUR model, and in the presence of an ill-conditioned data matrix.
Item Type: | Article |
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Uncontrolled Keywords: | time-varying coefficients, recursive estimation, updating, rolling window estimation,matrix algebra |
Divisions: | Faculty of Science and Health Faculty of Science and Health > Mathematics, Statistics and Actuarial Science, School of |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 10 Dec 2020 12:34 |
Last Modified: | 30 Oct 2024 21:24 |
URI: | http://repository.essex.ac.uk/id/eprint/29186 |
Available files
Filename: TimeVaryingParametersModel_accepted.pdf
Licence: Creative Commons: Attribution-Noncommercial-No Derivative Works 3.0