Confidence intervals of time varying coefficients
Posted: Sun Jul 07, 2019 3:34 am
Hi everyone
I have estimated time-varying coefficient regression model with flexible least squares (FLS) provided by tvpuni adds-in
This is a plot of time-varying coefficients of one of the explanatory variables
Is there any way to calculate the confidence intervals of the coefficients so later to be plotted along the line of the coefficients?
Any help is deeply appreciated
I have estimated time-varying coefficient regression model with flexible least squares (FLS) provided by tvpuni adds-in
Code: Select all
'simple fixed parameter estimation
equation fixed.ls cc cpi li fdi fpi oi
'time varying parameter estimation with flexible least squares
fixed.tvpuni(method="1",lambda="100",savem)
Is there any way to calculate the confidence intervals of the coefficients so later to be plotted along the line of the coefficients?
Any help is deeply appreciated