Bootstrap bandwidth selection in time-varying coefficient models with jumps

DOI10.1080/03610918.2019.1708930MaRDI QIDQ5866145zbMATH OpenOpenAlexWikidataFDO

Authors Jian-Qiang Zhao, Yanyong Zhao

Publication date 13 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1708930

zbMATH Keywords

bandwidth selectionbootstrapjumpstime-varying coefficient models

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• Adaptive jump-preserving estimates in varying-coefficient models
• Finite-Sample Variance of Local Polynomials: Analysis and Solutions
• Functional coefficient regression models with time trend
• Functional varying coefficient models for longitudinal data
• Functional‐coefficient models under unit root behaviour
• Interval and band estimation for curves with jumps
• Jump-detection and curve estimation methods for discontinuous regression functions based on the piecewise B-spline function
• Nonparametric estimation of fixed effects panel data varying coefficient models
• Nonparametric estimation of time varying parameters under shape restrictions
• On the estimation of jump points in smooth curves
• Optimal bandwidth selection in nonparametric regression function estimation
• Semiparametric estimation of fixed-effects panel data varying coefficient models
• Semiparametric estimation of partially varying-coefficient dynamic panel data models
• Spatially varying coefficient model for neuroimaging data with jump discontinuities
• Statistical inference in partially time-varying coefficient models
• Testing cointegration relationship in a semiparametric varying coefficient model
• Trending time-varying coefficient time series models with serially correlated errors

Cited in

(2)

• Estimation and test of jump discontinuities in varying coefficient models with empirical applications
• Jump-detection-based estimation in time-varying coefficient models and empirical applications

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