Sieve bootstrap inference for linear time-varying coefficient models
Marina Friedrich and
Yicong Lin
Journal of Econometrics, 2024, vol. 239, issue 1
Abstract:
We propose a sieve bootstrap framework to conduct pointwise and simultaneous inference for time-varying coefficient regression models based on a local linear estimator. The asymptotic validity of the sieve bootstrap in the presence of autocorrelation is established. The bootstrap automatically produces a consistent estimate of nuisance parameters, both at the interior and boundary points. In addition, we develop a bootstrap-based test for parameter constancy and examine its asymptotic properties. An extensive simulation study demonstrates a good finite sample performance of our methods. The proposed methods are applied to assess the price development of CO2 certificates in the European Emissions Trading System. We find evidence of time variation in the relationship between allowance prices and their fundamental price drivers. The time variation might offer an explanation for previous contradicting findings using linear regression models with constant coefficients.
Keywords: Sieve bootstrap; Nonparametric estimation; Simultaneous confidence bands; Energy economics; Emission trading (search for similar items in EconPapers)
JEL-codes: C14 C22 Q48 Q56 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304407622001701
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:239:y:2024:i:1:s0304407622001701
DOI: 10.1016/j.jeconom.2022.09.004
Access Statistics for this article
Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson
More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().