Inference of time-varying regression models

DOI10.1214/12-AOS1010zbMATH Open1257.62049arXiv1208.3552OpenAlexW2003320809MaRDI QIDQ693729FDOQ693729

Authors: M. C. Fu 

Publication date: 10 December 2012

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: We consider parameter estimation, hypothesis testing and variable selection for partially time-varying coefficient models. Our asymptotic theory has the useful feature that it can allow dependent, nonstationary error and covariate processes. With a two-stage method, the parametric component can be estimated with a $n^{1/2}$-convergence rate. A simulation-assisted hypothesis testing procedure is proposed for testing significance and parameter constancy. We further propose an information criterion that can consistently select the true set of significant predictors. Our method is applied to autoregressive models with time-varying coefficients. Simulation results and a real data application are provided.

Full work available at URL: https://arxiv.org/abs/1208.3552

Recommendations

• Statistical inference in partially time-varying coefficient models
• Variable selection in partially time-varying coefficient models
• Semiparametric model building for regression models with time-varying parameters
• Functional coefficient regression models with time trend
• Efficient semiparametric estimation in time-varying regression models

zbMATH Keywords

variable selectiontime-varying coefficient modelsinformation criterionnonparametric hypothesis testinglocally stationary processes

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15)

Cites Work

• Functional data analysis.
• Title not available (Why is that?)
• Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
• Testing the constancy of regression parameters against continuous structural change
• Fitting time series models to nonstationary processes
• Generalized likelihood ratio statistics and Wilks phenomenon
• Regularized estimation of large covariance matrices
• Probability and moment inequalities under dependence
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Specification Tests in Econometrics
• Profile likelihood inferences on semiparametric varying-coefficient partially linear models
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Semiparametric and Nonparametric Regression Analysis of Longitudinal Data
• Title not available (Why is that?)
• Statistical estimation in varying coefficient models
• Nonparametric smoothing estimates of time-varying coefficient models with longitudinal data
• Efficient Estimation and Inferences for Varying-Coefficient Models
• Semiparametric Models for Longitudinal Data with Application to CD4 Cell Numbers in HIV Seroconverters
• Testing for a change in the parameter values and order of an autoregressive model
• On the Kullback-Leibler information divergence of locally stationary processes
• Simultaneous confidence bands and hypothesis testing in varying-coefficient models
• Banding sample autocovariance matrices of stationary processes
• Testing for the Constancy of Parameters Over Time
• Adaptive Varying-Coefficient Linear Models
• Title not available (Why is that?)
• On recursive estimation for time varying autoregressive processes
• Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• A new test for structural stability in the linear regression model
• Some higher-order theory for a consistent non-parametric model specification test
• Nonparametric estimation of time varying parameters under shape restrictions
• Testing for smooth structural changes in time series models via nonparametric regression
• Testing parametric assumptions of trends of a nonstationary time series
• Nonparametric test for checking lack of fit of the quantite regression model under random censoring
• Smoothing Spline Models with Correlated Random Errors
• Smoothing Parameter Selection for Power Optimality in Testing of Regression Curves
• Bandwidth selection in nonparametric kernel testing
• Nonlinear wavelet estimation of time-varying autoregressive processes
• Trending time-varying coefficient time series models with serially correlated errors
• Efficient estimation for semivarying-coefficient models
• Local polynomial fitting in semivarying coefficient model
• Asymptotics of spectral density estimates
• A power comparison between nonparametric regression tests.
• Some comments on specification tests in nonparametric absolutely regular processes
• Weighted Empirical Adaptive Variance Estimators for Correlated Data Regression
• Order Estimation and Discrimination Between Stationary and Time-Varying (TVAR) Autoregressive Models
• Semiparametric estimation and testing of the trend of temperature series
• On the distribution of some test statistics for coefficient constancy
• Estimation of time-varying AR \(S\alpha S\) processes using Gibbs sampling
• Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change

Cited In (60)

• Gaussian approximation for nonstationary time series with optimal rate and explicit construction
• Simultaneous variable selection and structural identification for time‐varying coefficient models
• Generalized varying-coefficient additive model for locally stationary time series
• Title not available (Why is that?)
• Optimal sampling designs for multidimensional streaming time series with application to power grid sensor data
• Testing for jumps in the presence of smooth changes in trends of nonstationary time series
• Variable selection for partially time-varying coefficient error-in-variables models
• Adaptive Inference in Heteroscedastic Fractional Time Series Models
• Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
• Local linear smoothing for sparse high dimensional varying coefficient models
• Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
• Marginal Regression Model with Time-Varying Coefficients for Panel Data
• Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models
• A model-free consistent test for structural change in regression possibly with endogeneity
• Inference of high-dimensional linear models with time-varying coefficients
• Simultaneous inference for time-varying models
• Time-varying forecast combination for high-dimensional data
• Functional coefficient regression models with time trend
• Semiparametric model for covariance regression analysis
• Inference on stochastic time-varying coefficient models
• A similarity-based approach to time-varying coefficient non-stationary autoregression
• Modeling and testing smooth structural changes with endogenous regressors
• A unified approach to self-normalized block sampling
• Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models
• Time-varying parameter models with endogenous regressors
• Inference of the trend in a partially linear model with locally stationary regressors
• Clustering High-Dimensional Time Series Based on Parallelism
• Bootstrap bandwidth selection in time-varying coefficient models with jumps
• Change-point analysis of time series with evolutionary spectra
• Simultaneous quantile inference for non-stationary long-memory time series
• Inferences about the parameters of a time series model with changing variance
• Time-varying coefficient models: A comparison of alternative estimation strategies
• A Stratified Penalized Kernel Method for Semiparametric Variable Labeling and Estimation of Multi-Output Time-Varying Coefficient Models for Nonstationary Time Series
• Nonparametric Inference for Time-Varying Coefficient Quantile Regression
• Gradient-based structural change detection for nonstationary time series M-estimation
• Testing for structural change in time-varying nonparametric regression models
• Time-varying correlation for noncentered nonstationary time series: simultaneous inference and visualization
• Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form
• Time-varying nonlinear regression models: nonparametric estimation and model selection
• Global kernel estimator and test of varying-coefficient autoregressive model
• Time-varying Lasso
• A self-normalized semi-parametric test to detect changes in the long memory parameter
• Estimation of varying coefficient models with time trend and integrated regressors
• Estimating smooth structural change in cointegration models
• Two-step estimation of time-varying additive model for locally stationary time series
• Statistical inference in partially time-varying coefficient models
• Variable selection in partially time-varying coefficient models
• Kernel-based inference in time-varying coefficient cointegrating regression
• Inference for non-stationary time-series autoregression
• Semiparametric model building for regression models with time-varying parameters
• Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
• Efficient semiparametric estimation in time-varying regression models
• The distribution of rolling regression estimators
• Statistical inference of locally stationary functional coefficient models
• A perturbation analysis of Markov chains models with time-varying parameters
• Bayesian modelling of time-varying conditional heteroscedasticity
• Time-varying multivariate causal processes
• Methods of regularization in the problem of reconstruction of nonstationary regression dependence.
• Prediction in Locally Stationary Time Series
• Binary response models for heterogeneous panel data with interactive fixed effects

Uses Software

• fda (R)

This page was built for publication: Inference of time-varying regression models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q693729)