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Article: Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares
Title | Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares |
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Authors | |
Keywords | Autoregressive conditional heteroscedasticity Iteratively weighted least squares Maximum likelihood estimation Nonlinear time series models |
Issue Date | 1997 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/csda |
Citation | Computational Statistics And Data Analysis, 1997, v. 24 n. 2, p. 169-178 How to Cite? |
Abstract | In this paper we consider a unified approach for fitting conditionally nonlinear time series models with heteroscedastic variances. The model considered is completely general, requiring only that the forms of the mean and conditional variance functions be specified. Based on the recent results of Mak (1993) on general estimating equations, we derive a convenient expression for the conditional information matrix. Furthermore, it is shown that estimation in such models can be performed via an iteratively weighted least squares algorithm (IWLS), so that the computational problems involved can be conveniently handled by many popular statistical packages. Its implementation is numerically illustrated using the "threshold plus ARCH" model. The algorithm is also demonstrated using both simulated and real data to be superior to the popular BHHH algorithm, which requires a much longer computing time and fails to converge if initial values are not chosen properly. |
Persistent Identifier | http://hdl.handle.net/10722/83048 |
ISSN | 2023 Impact Factor: 1.5 2023 SCImago Journal Rankings: 1.008 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Mak, TK | en_HK |
dc.contributor.author | Wong, H | en_HK |
dc.contributor.author | Li, WK | en_HK |
dc.date.accessioned | 2010-09-06T08:36:19Z | - |
dc.date.available | 2010-09-06T08:36:19Z | - |
dc.date.issued | 1997 | en_HK |
dc.identifier.citation | Computational Statistics And Data Analysis, 1997, v. 24 n. 2, p. 169-178 | en_HK |
dc.identifier.issn | 0167-9473 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/83048 | - |
dc.description.abstract | In this paper we consider a unified approach for fitting conditionally nonlinear time series models with heteroscedastic variances. The model considered is completely general, requiring only that the forms of the mean and conditional variance functions be specified. Based on the recent results of Mak (1993) on general estimating equations, we derive a convenient expression for the conditional information matrix. Furthermore, it is shown that estimation in such models can be performed via an iteratively weighted least squares algorithm (IWLS), so that the computational problems involved can be conveniently handled by many popular statistical packages. Its implementation is numerically illustrated using the "threshold plus ARCH" model. The algorithm is also demonstrated using both simulated and real data to be superior to the popular BHHH algorithm, which requires a much longer computing time and fails to converge if initial values are not chosen properly. | en_HK |
dc.language | eng | en_HK |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/csda | en_HK |
dc.relation.ispartof | Computational Statistics and Data Analysis | en_HK |
dc.rights | Computational Statistics & Data Analysis. Copyright © Elsevier BV. | en_HK |
dc.subject | Autoregressive conditional heteroscedasticity | en_HK |
dc.subject | Iteratively weighted least squares | en_HK |
dc.subject | Maximum likelihood estimation | en_HK |
dc.subject | Nonlinear time series models | en_HK |
dc.title | Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0167-9473&volume=24&spage=169&epage=178&date=1997&atitle=Estimation+of+nonlinear+time+series+with+conditional+heteroscedastic+variances+by+iteratively+weighted+least+squares | en_HK |
dc.identifier.email | Li, WK: hrntlwk@hku.hk | en_HK |
dc.identifier.authority | Li, WK=rp00741 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/S0167-9473(96)00060-6 | - |
dc.identifier.scopus | eid_2-s2.0-0031550927 | en_HK |
dc.identifier.hkuros | 21992 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-0031550927&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 24 | en_HK |
dc.identifier.issue | 2 | en_HK |
dc.identifier.spage | 169 | en_HK |
dc.identifier.epage | 178 | en_HK |
dc.identifier.isi | WOS:A1997WR18800003 | - |
dc.publisher.place | Netherlands | en_HK |
dc.identifier.scopusauthorid | Mak, TK=7401931097 | en_HK |
dc.identifier.scopusauthorid | Wong, H=7402864953 | en_HK |
dc.identifier.scopusauthorid | Li, WK=14015971200 | en_HK |
dc.identifier.issnl | 0167-9473 | - |