Feasible generalized least squares using support vector regression
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DOI: 10.1016/j.econlet.2018.12.001
Abstract: We investigate semiparametric Feasible Generalized Least Squares using Support Vector Regression to estimate the conditional variance function. Monte Carlo results indicate the resulting estimator and an accompanying standard error correction offer substantially improved precision, nominal… read more here.
Keywords: least squares; using support; support vector; squares using ... See more keywords