Record Details

Adaptive Estimation of Heteroscedastic Money Demand Model of Pakistan

Pakistan Journal of Statistics and Operation Research

View Archive Info
 
 
Field Value
 
Title Adaptive Estimation of Heteroscedastic Money Demand Model of Pakistan
 
Creator Aslam, Muhammad
Pasha, G. R.
 
Description For the problem of estimation of Money demand model of Pakistan, money supply (M1) shows heteroscedasticity of the unknown form. For estimation of such model we compare two adaptive estimators with ordinary least squares estimator and show the attractive performance of the adaptive estimators, namely, nonparametric kernel estimator and nearest neighbour regression estimator. These comparisons are made on the basis standard errors of the estimated coefficients, standard error of regression, Akaike Information Criteria (AIC) value, and the Durban-Watson statistic for autocorrelation. We further show that nearest neighbour regression estimator performs better when comparing with the other nonparametric kernel estimator.
 
Publisher College of Statistical and Actuarial Sciences
 
Date 2007-07-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.pjsor.com/index.php/pjsor/article/view/65
10.18187/pjsor.v3i2.65
 
Source Pakistan Journal of Statistics and Operation Research; Vol 3. No. 2, July 2007; 109-115
2220-5810
1816-2711
 
Language eng
 
Relation http://www.pjsor.com/index.php/pjsor/article/view/65/44