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An Estimation of U.S. Gasoline Demand: A Smooth Time-Varying Cointegration Approach
Gasoline demand Time-varying coefficient Cointegration Canonical coin-tegration regression Error-correction model deadweight loss
2011/4/2
In this paper the U.S. gasoline demand from 1976 to 2008 is estimated using a time-varying cointegrating regression.
Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems
nonsmooth utility maximization classical solution to HJB equation smooth
2010/10/20
In this paper we prove that there exists a smooth classical solution to the HJB equation for a large class of constrained problems with utility functions that are not necessarily differentiable or st...
Detecting for Smooth Structural Changes in GARCH Models
GARCH Local smoothing Parameter constancy QMLE Smooth structural change
2011/4/2
Detecting and modelling structural changes in GARCH processes have attracted increasing attention in time series econometrics. In this paper, we propose a new approach to testing structural changes in...
Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models
Bandwidth selection Boundary effect Covariance estimation Kernel smoothing method Nonlinear time series Quantile regression Value-at-risk Varying coefficients
2011/4/2
We suggest quantile regression methods for a class of smooth coefficient time series models. We use both local polynomial and local constant fitting schemes to estimate the smooth coefficients in a qu...
Nonparametric Quantile Estimations For Dynamic Smooth Coefficient Models
Bandwidth selection boundary effect covariance estimation kernel smoothing methods nonlinear time series quantile regression value-at-risk varying coefficients
2011/4/6
In this paper, quantile regression methods are suggested for a class of smooth coefficient time series models. We employ a local polynomial fitting scheme to estimate the smooth coefficients in a quan...