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2005-10-12Buch DOI: 10.18452/3564
Trending Time-Varying Coe±cient Models WithSerially Correlated Errors
dc.contributor.authorCai, Zongwu
dc.date.accessioned2017-06-15T21:24:13Z
dc.date.available2017-06-15T21:24:13Z
dc.date.created2005-10-12
dc.date.issued2005-10-12
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4216
dc.description.abstractIn this paper we study time-varying coe±cient models with time trend function and serially correlated errors to characterize nonlinear, nonstationary and trending phenomenon in time se- ries. Compared with the Nadaraya-Watson method, the local linear approach is developed to estimate the time trend and coe±cient functions. The consistency of the proposed estimators is obtained without any specification of the error distribution and the asymptotic normality of the proposed estimators is established under the α-mixing conditions. The explicit expressions of the asymptotic bias and variance are given for both estimators. The asymptotic bias is just in a regular nonparametric form but the asymptotic variance is shared by parametric estimators. Also, the asymptotic behaviors at both interior and boundary points are studied for both estimators and it shows that two estimators share the exact same asymptotic properties at the interior points but not at the boundaries. Moreover, proposed are a new bandwidth selector based on the nonparametric version of the Akaike information criterion, a consistent estimator of the asymptotic variance, and a simple nonparametric version of bootstrap (i.e. wild bootstrap) test for testing the misspecification and stationarity. Finally, we conduct some Monte Carlo experiments to examine the finite sample performances of the proposed modeling procedures and test.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectNonstationarityeng
dc.subjectBandwidth selectioneng
dc.subjectBoundary effectseng
dc.subjectFixed designeng
dc.subjectFunctional coefficient modelseng
dc.subjectLocal linear fittingeng
dc.subjectMisspecification testeng
dc.subjectNadaraya-Watson estimationeng
dc.subjectNonlinearityeng
dc.subjectStationarityeng
dc.subjectTime series errorseng
dc.subjectWild bootstrapeng
dc.subject.ddc330 Wirtschaft
dc.titleTrending Time-Varying Coe±cient Models WithSerially Correlated Errors
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10049817
dc.identifier.doihttp://dx.doi.org/10.18452/3564
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages27
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2003
local.edoc.container-issue7
local.edoc.container-year2003
local.edoc.container-erstkatid2135319-0

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