The Maximum Likelihood Method of Random Coefficient Dynamic Regression Model
The Random Coefficient Dynamic Regression (RCDR)
model is to developed from Random Coefficient Autoregressive
(RCA) model and Autoregressive (AR) model. The RCDR model
is considered by adding exogenous variables to RCA model. In this
paper, the concept of the Maximum Likelihood (ML) method is used
to estimate the parameter of RCDR(1,1) model. Simulation results
have shown the AIC and BIC criterion to compare the performance of
the the RCDR(1,1) model. The variables as the stationary and weakly
stationary data are good estimates where the exogenous variables
are weakly stationary. However, the model selection indicated that
variables are nonstationarity data based on the stationary data of the
exogenous variables.
[1] T.G. Anderson and J. Lund, Estimating continuous time stochastic
volatility models of the short term interest rate, Journal of Econometrics,
77, p. 343-377, 1977.
[2] A.R. Gallant and G. Tauchen, Estimation of continuous time models
for stock returns and interests rates, Macroeconomic Dynamics, 1, p.
135-168, 1997.
[3] Q. Yao and H. Tong, Quantifying the influence of initial values on
nonlinear prediction, Journal of the Royal Statistical Society, Series B,
56, p. 701-725, 1994.
[4] R.F. Engle, Autoregressive conditional heteroscedasticity with estimates
of the variance of United Kingdom inflation, Econometrica, 50, p. 987-
1007, 1982.
[5] T. Bollerslev, Generalized autoregressive conditional heteroscedasticity,
Journal of Econometrics, 31, p. 307-327, 1986.
[6] D.B. Nelson, Conditional heteroskedasticity in asset returns : a new
approach, Econometrica, 59, p. 347-370, 1991.
[7] R. Tsay, Conditional heteroscedastic time series models, Journal of the
American Statistical Association, 82, p. 590-604, 1987.
[8] D.F. Nicholls and B.G. Quinn, Random coefficient autoregressive models:
An introduction., Springer- Verlag Inc, New York, 1982.
[9] B.W. Silverman, Penalized maximum likelihood estimation, Encyclopaedia
of Statistical Sciences, 6, p. 664-667, 1985.
[10] R. Dahlhous and P. Polonik, Nonparametric quasi-maximum likelihood
estimation for Gaussian locally stationary process, The Annals of
Statistics, 34, p. 2790-2824, 2006.
[11] C. Hwang and B.P. Carlin, Parameter estimation for generalized random
coefficient autoregressive process, Journal of Statistical Planning and
Inference, 68, p. 323-337, 1998.
[12] G. Casella and R.L. Berger, Statistical Inference, CA : Duxbury, 2002.
[13] H. Akaike, A new look at the statistical model transactions, IEEE
Transactions on Automatic Control, 19, p. 716-723, 1984.
[14] G. Schwarz, Estimating the dimension of a model, Annals of Statistics,
6, p. 461-464, 1978.
[1] T.G. Anderson and J. Lund, Estimating continuous time stochastic
volatility models of the short term interest rate, Journal of Econometrics,
77, p. 343-377, 1977.
[2] A.R. Gallant and G. Tauchen, Estimation of continuous time models
for stock returns and interests rates, Macroeconomic Dynamics, 1, p.
135-168, 1997.
[3] Q. Yao and H. Tong, Quantifying the influence of initial values on
nonlinear prediction, Journal of the Royal Statistical Society, Series B,
56, p. 701-725, 1994.
[4] R.F. Engle, Autoregressive conditional heteroscedasticity with estimates
of the variance of United Kingdom inflation, Econometrica, 50, p. 987-
1007, 1982.
[5] T. Bollerslev, Generalized autoregressive conditional heteroscedasticity,
Journal of Econometrics, 31, p. 307-327, 1986.
[6] D.B. Nelson, Conditional heteroskedasticity in asset returns : a new
approach, Econometrica, 59, p. 347-370, 1991.
[7] R. Tsay, Conditional heteroscedastic time series models, Journal of the
American Statistical Association, 82, p. 590-604, 1987.
[8] D.F. Nicholls and B.G. Quinn, Random coefficient autoregressive models:
An introduction., Springer- Verlag Inc, New York, 1982.
[9] B.W. Silverman, Penalized maximum likelihood estimation, Encyclopaedia
of Statistical Sciences, 6, p. 664-667, 1985.
[10] R. Dahlhous and P. Polonik, Nonparametric quasi-maximum likelihood
estimation for Gaussian locally stationary process, The Annals of
Statistics, 34, p. 2790-2824, 2006.
[11] C. Hwang and B.P. Carlin, Parameter estimation for generalized random
coefficient autoregressive process, Journal of Statistical Planning and
Inference, 68, p. 323-337, 1998.
[12] G. Casella and R.L. Berger, Statistical Inference, CA : Duxbury, 2002.
[13] H. Akaike, A new look at the statistical model transactions, IEEE
Transactions on Automatic Control, 19, p. 716-723, 1984.
[14] G. Schwarz, Estimating the dimension of a model, Annals of Statistics,
6, p. 461-464, 1978.
@article{"International Journal of Engineering, Mathematical and Physical Sciences:54183", author = "Autcha Araveeporn", title = "The Maximum Likelihood Method of Random Coefficient Dynamic Regression Model", abstract = "The Random Coefficient Dynamic Regression (RCDR)
model is to developed from Random Coefficient Autoregressive
(RCA) model and Autoregressive (AR) model. The RCDR model
is considered by adding exogenous variables to RCA model. In this
paper, the concept of the Maximum Likelihood (ML) method is used
to estimate the parameter of RCDR(1,1) model. Simulation results
have shown the AIC and BIC criterion to compare the performance of
the the RCDR(1,1) model. The variables as the stationary and weakly
stationary data are good estimates where the exogenous variables
are weakly stationary. However, the model selection indicated that
variables are nonstationarity data based on the stationary data of the
exogenous variables.", keywords = "Autoregressive, Maximum Likelihood Method, Nonstationarity, Random Coefficient Dynamic Regression, Stationary.", volume = "7", number = "6", pages = "953-6", }