Polynomial spline approach for variable selection and estimation in varying coefficient models for time series data

Peng Lai, Jie Meng and Heng Lian

Statistics & Probability Letters, 2015, vol. 96, issue C, 21-27

Abstract: We propose the penalized estimator with the smoothly clipped absolute deviation (SCAD) penalty for varying coefficient time series models, which in autoregressive models actually performs lag order selection. Theoretical properties are established. Some numerical examples are also presented.

Keywords: Autoregressive models; BIC; B-spline basis; SCAD penalty (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2014.09.008

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