Two-Stage Method Based on Local Polynomial Fitting for a Linear Heteroscedastic Regression Model and Its Application in Economics
Joint Authors
Yan, Tianshun
Zhao, Yanyong
Su, Liyun
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-17, 17 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-03-26
Country of Publication
Egypt
No. of Pages
17
Main Subjects
Abstract EN
We introduce the extension of local polynomial fitting to the linear heteroscedastic regression model.
Firstly, the local polynomial fitting is applied to estimate heteroscedastic function, then the coefficients of regression model are obtained by using generalized least squares method.
One noteworthy feature of our approach is that we avoid the testing for heteroscedasticity by improving the traditional two-stage method.
Due to nonparametric technique of local polynomial estimation, we do not need to know the heteroscedastic function.
Therefore, we can improve the estimation precision, when the heteroscedastic function is unknown.
Furthermore, we focus on comparison of parameters and reach an optimal fitting.
Besides, we verify the asymptotic normality of parameters based on numerical simulations.
Finally, this approach is applied to a case of economics, and it indicates that our method is surely effective in finite-sample situations.
American Psychological Association (APA)
Su, Liyun& Zhao, Yanyong& Yan, Tianshun. 2012. Two-Stage Method Based on Local Polynomial Fitting for a Linear Heteroscedastic Regression Model and Its Application in Economics. Discrete Dynamics in Nature and Society،Vol. 2012, no. 2012, pp.1-17.
https://search.emarefa.net/detail/BIM-491393
Modern Language Association (MLA)
Su, Liyun…[et al.]. Two-Stage Method Based on Local Polynomial Fitting for a Linear Heteroscedastic Regression Model and Its Application in Economics. Discrete Dynamics in Nature and Society No. 2012 (2012), pp.1-17.
https://search.emarefa.net/detail/BIM-491393
American Medical Association (AMA)
Su, Liyun& Zhao, Yanyong& Yan, Tianshun. Two-Stage Method Based on Local Polynomial Fitting for a Linear Heteroscedastic Regression Model and Its Application in Economics. Discrete Dynamics in Nature and Society. 2012. Vol. 2012, no. 2012, pp.1-17.
https://search.emarefa.net/detail/BIM-491393
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-491393