Efficient semiparametric estimation in time-varying regression models

DOI10.1080/02331888.2018.1425999MaRDI QIDQ4567920zbMATH OpenOpenAlexFDO

Authors Lionel Truquet

Publication date 20 June 2018

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1707.05379

zbMATH Keywords

kernel smoothinglocally stationary time seriessemiparametric regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: We study semiparametric inference in some linear regression models with time-varying coefficients, dependent regressors and dependent errors. This problem, which has been considered recently by Zhang and Wu (2012) under the functional dependence measure, is interesting for parsimony reasons or for testing stability of some coefficients in a linear regression model. In this paper, we propose a different procedure for estimating non time-varying parameters at the rate root n, in the spirit of the method introduced by Robinson (1988) for partially linear models. When the errors in the model are martingale differences, this approach can lead to more effcient estimates than the method considered in Zhang and Wu (2012). For a time-varying AR process with exogenous covariates and conditionally Gaussian errors, we derive a notion of efficient information matrix from a convolution theorem adapted to triangular arrays. For independent but non identically distributed Gaussian errors, we construct an asymptotically efficient estimator in a semiparametric sense.

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Cited in

(7)

• Semiparametric inference methods for general time scale models
• Estimation of varying coefficient models with time trend and integrated regressors
• Efficient estimation for semi-varying coefficient model with an invertible linear process error
• EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION
• Semiparametric model building for regression models with time-varying parameters
• Time-varying vector error-correction models: estimation and inference
• Inference of time-varying regression models

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