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Cowles commission structural equation approach in light of nonstationary time series analysis
Cowles commission structural equation approach nonstationary time series analysis
2010/4/27
We review the advancement of nonstationary time series analysis
from the perspective of Cowles Commission structural equation approach.
We argue that despite the rich repertoire nonstationary time s...
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series：A stochastic recurrence equations approach
Stochastic recurrence equation conditionally heteroscedastictime series GARCH asymmetric GARCH exponential GARCH EGARCH
2010/4/27
This paper studies the quasi-maximum-likelihood estimator
(QMLE) in a general conditionally heteroscedastic time series model
of multiplicative form Xt = tZt, where the unobservable volatility t
...
A Constructive Approach to the Estimation of Dimension Reduction Directions
Conditional density function Convergence of algorithm Doublekernelsmoothing Efficient dimension reduction Root-n consistency
2010/4/26
In this paper, we propose two new methods to estimate the dimensionreduction
directions of the central subspace (CS) by constructing a regression
model such that the directions are all captured in t...