Time and cross-sectionally varying coefficients models
Time varying covariates and coefficients in Cox regression models
... explore time-varying coefficient One way to model time-varying coefficients is to use a step function, ...analysis time into several intervals and Cox proportional model is ...
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Model Selection for Cox Models with Time-Varying Coefficients
... Cox models with time-independent covariates does not apply to the current problem ...as time-varying effect (Therneau and Grambsch, ...
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Inference of high-dimensional linear models with time-varying coefficients
... As another key difference of this thesis from the existing inference literature on high-dimensional lin- ear models based on the fundamental i.i.d. error assumption [B¨ uhlmann, 2013], [Zhang and Zhang, 2014], ...
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Local polynomial estimations of time varying coefficients for local stationary diffusion models
... Abstract This paper is dedicated to the study of local polynomial estimations of time-varying coefficients for a local stationary diffusion model. Based on local polynomial fitting, the estimations of drift ...
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System GMM estimation of panel data models with time varying slope coefficients
... i;t = i;t 1 + u t ; 0 < < 1; which implies that the residual in period t is correlated with all past residuals. If, as is commonly suspected, the regressors are contemporaneously correlated with the residual, lagged ...
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Marginal Distribution Plots for Proportional Hazards Models with Time Dependent Covariates or Time Varying Regression Coefficients
... 2 Department of Integrative Medicine, Mount Sinai Beth Israel, New York, NY, USA Abstract Given a sample of regression data from ( Y Z , ) , a new diagnostic plotting method is proposed for checking the hypothesis H 0 : ...
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A semiparametric recurrent events model with time-varying coefficients
... the time-varying effect of airway reactivity on wheezing is consistent with the rapid childhood lung ...of time-varying coefficient models in the analysis of childhood asthma ...long ...
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Long-Run Effects in Large Heterogenous Panel Data Models with Cross-Sectionally Correlated Errors
... with cross-sectionally dependent ...weak cross-section dependence of idiosyncratic ...by cross-section averages to deal with the e¤ects of common ...proposed cross-sectionally ...
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A Simulation Study on Comparing General Class of Semiparametric Transformation Models for Survival Outcome with Time Varying Coefficients and Covariates
... the time-varying covariate and time-varying coefficient effect in survival models are plausible and robust ...transformation models of survival time with ...
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Time Varying Determinants of Cross-Country Growth
... with time and therefore variation. Over the entire time period, the results seem to coincide with Salai-i-Martin’s (1997) conclusion that the mean model size constitutes approximately 7 ...likely ...
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An Application of Heterogeneous Bayesian Regression Models with Time Varying Coefficients to Explore the Relationship between Customer Satisfaction and Shareholder Value
... over time for larger firms and firms in industries with higher market concentration, but weakened for firms with high advertising ...proposed models. First, our models provide individual level, ...
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Hierarchical Shrinkage in Time-varying Parameter Models
... of time-variation in coefficients and even a small amount of monthly time-variation can lead to a large degree of change in ...in coefficients over the course of a ...in coefficients is ...
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Hierarchical shrinkage in time varying parameter models
... Empirical Appendix In this sub-section, we present results for a few additional specifications to show that the results in the body of the paper are robust. Results are presented in the same format as in Tables 4 through ...
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Hierarchical Shrinkage in Time-Varying Parameter Models
... Empirical Appendix In this sub-section, we present results for a few additional specifications to show that the results in the body of the paper are robust. Results are presented in the same format as in Tables 4 through ...
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Hierarchical shrinkage in time-varying parameter models
... In this sub-section, we present results for a few additional specifications to show that the results in the body of the paper are robust. Results are presented in the same format as in Tables 4 through 7. That is ...
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Time-varying sparsity in dynamic regression models
... regression coefficients which are sparse (that is most of the regres- sion coefficients have values very close to ...the time-varying regression coefficients extends the more general ...
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On Time-Varying Factor Models: Estimation and Testing
... L. Su, X. Wang / Journal of Econometrics 198 (2017) 84–101 85 In recent years, more and more research has focused on struc- tural changes in factor loadings. Stock and Watson ( 2009 ) examine the forecasting reliability ...
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A conditionally heteroskedastic model with time varying coefficients for daily gas spot prices
... GARCH models, the conditional kurtosis coefficient, defined as the ratio of the fourth-order conditional moment on the squared conditional variance, is constant and is equal to the kurtosis κ η of the independent ...
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A Conditionally Heteroskedastic Model with Time-varying Coefficients for Daily Gas Spot Prices.
... GARCH models of Engle (1982) and Bollerslev (1986), which ar- guably constitute the most important class of models for financial data may be inadequate for energy ...
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Time varying brain connectivity with multiregression dynamic models
... regression coefficients, it also tended to identify weaker, less consistent edges that compromised the robustness of the estimated group ...(over time) distributions of the Dynamic Linear ...
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