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Estimating deterministically time-varying variances in regression models

✍ Scribed by George Kapetanios

Book ID: 116421688
Publisher: Elsevier Science
Year: 2007
Tongue: English
Weight: 303 KB
Volume: 97
Category: Article
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2007.02.019

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The paper is concerned with the problem of variance estimation for a highdimensional regression model. The results show that the accuracy n -1/2 of variance estimation can be achieved only under some restrictions on smoothness properties of the regression function and on the dimensionality of the mo