英文文献：Time-varying coefficient estimation in SURE models. Application to portfolio management-确定性模型中的时变系数估计。对投资组合管理的应用
英文文献作者：Isabel Casas,Eva Ferreira,Susan Orbe
英文文献摘要：
This paper provides a detailed analysis of the asymptotic properties of a kernel estimator for a Seemingly Unrelated Regression Equations model with time-varying coefficients (tv-SURE) under very general conditions. Theoretical results together with a simulation study differentiates the cases for which the estimation of a tv-SURE outperforms the estimation of a Single Regression Equations model with time-varying coefficients (tv-SRE). The study shows that Zellner's results cannot be straightforwardly extended to the time-varying case. The tv-SURE is applied to the Fama and French five-factor model using data from four different international markets. Finally, we provide the estimation under cross-restriction and discuss a testing procedure.

摘要在非常一般的条件下，详细分析了一类具有时变系数的似无关回归方程模型(tv-SURE)的核估计量的渐近性质。理论结果和仿真研究区分了电视确定估计优于单一回归方程模型的时变系数(tv-SRE)估计的情况。研究表明，Zellner的结果不能直接推广到时变情况下。利用来自四个不同国际市场的数据，将tv-SURE应用到Fama和French五因素模型中。最后，我们给出了交叉约束下的估计，并讨论了一个测试过程。