Efficient estimation of the error distribution in a varying coefficient regression model

2017 ◽  
Vol 26 (3) ◽  
pp. 176-195
Author(s):  
A. Schick ◽  
Y. Zhu
2020 ◽  
Vol 40 (2) ◽  
pp. 465-480
Author(s):  
Junho Lee ◽  
Maria E. Kamenetsky ◽  
Ronald E. Gangnon ◽  
Jun Zhu

2011 ◽  
Vol 467-469 ◽  
pp. 1398-1403
Author(s):  
Qi Zhang ◽  
Jun Hai Ma ◽  
Yan Wang

U.S. dollar index, oil prices, silver prices, DOW index, OECD leading index and the CRB index are selected and varying-coefficient regression model which has dynamic response to the various variables influence is applied to predict the gold price and improve the prediction accuracy in this paper. In addition, the weighted least squares is adopted as an estimation of the parameters, corrects the traditional least squares method defect which assumes the sample data weights equal points to the prediction, making sample weights larger closer with prediction points. In the choice of weighting function, the paper uses cross validation to gain smoothing parameter. In the last, we predicted the 12 months gold prices from January 2010 December 2010 applies varying-coefficient regression model.


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