Simultaneous inference for time-varying models
A general class of non-stationary time series is considered in this paper. We estimate the time-varying coefficients by using local linear M-estimation. For these estimators, weak Bahadur representations are obtained and are used to construct simultaneous confidence bands. For practical implementati...
Gespeichert in:
| Hauptverfasser: | , , |
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| Dokumenttyp: | Article (Journal) |
| Sprache: | Englisch |
| Veröffentlicht: |
22 February 2022
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| In: |
Journal of econometrics
Year: 2022, Jahrgang: 227, Heft: 2, Pages: 408-428 |
| DOI: | 10.1016/j.jeconom.2021.03.002 |
| Online-Zugang: | Verlag, lizenzpflichtig, Volltext: https://doi.org/10.1016/j.jeconom.2021.03.002 Verlag, lizenzpflichtig, Volltext: https://www.sciencedirect.com/science/article/pii/S0304407621000725 
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| Verfasserangaben: | Sayar Karmakar, Stefan Richter, Wei Biao Wu |
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| 520 | |a A general class of non-stationary time series is considered in this paper. We estimate the time-varying coefficients by using local linear M-estimation. For these estimators, weak Bahadur representations are obtained and are used to construct simultaneous confidence bands. For practical implementation, we propose a bootstrap based method to circumvent the slow logarithmic convergence of the theoretical simultaneous bands. Our results substantially generalize and unify the treatments for several time-varying regression and auto-regression models. The performance for tvARCH and tvGARCH models is studied in simulations and a few real-life applications of our study are presented through the analysis of some popular financial datasets. | ||
| 650 | 4 | |a Bootstrap | |
| 650 | 4 | |a Gaussian approximation | |
| 650 | 4 | |a Generalized linear models | |
| 650 | 4 | |a Simultaneous confidence band | |
| 650 | 4 | |a Time-series models | |
| 650 | 4 | |a Time-varying regression | |
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