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Statistical inference in partially time-varying coefficient models

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JournalJournal of Statistical Planning and Inference
DatePublished - 21 Feb 2011
Issue number2
Volume141
Number of pages19
Pages (from-to)995-1013
Original languageEnglish

Abstract

A partially time-varying coefficient time series model is introduced to characterize the nonlinearity and trending phenomenon. To estimate the regression parameter and the nonlinear coefficient function, the profile least squares approach is applied with the help of local linear approximation. The asymptotic distributions of the proposed estimators are established under mild conditions. Meanwhile, the generalized likelihood ratio test is studied and the test statistics are demonstrated to follow asymptotic chi(2)-distribution under the null hypothesis. Furthermore, some extensions of the proposed model are discussed and several numerical examples are provided to illustrate the finite sample behavior of the proposed methods.

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(C) 2010 Elsevier B.V. All rights reserved.

    Research areas

  • Local linear smoother, Generalized likelihood ratio statistics, PARTIALLY LINEAR-MODELS, Profile least squares, Time-varying coefficient model, ERRORS, SERIES MODELS, SEMIPARAMETRIC REGRESSION, CENTRAL-LIMIT-THEOREM, VARIABLE SELECTION, Semiparametric regression

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