Asymptotic Theory for Regressions with Smoothly Changing Parameters

Eric Hillebrand (), Marcelo Medeiros () and Junyue Xu ()
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Junyue Xu: LOUISIANA STATE UNIVERSITY, Postal: DEPARTMENT OF ECONOMICS, BATON ROUGE, USA

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: We derive asymptotic properties of the quasi maximum likelihood estimator of smooth transition regressions when time is the transition variable. The consistency of the estimator and its asymptotic distribution are examined. It is shown that the estimator converges at the usual square-root-of-T rate and has an asymptotically normal distribution. Finite sample properties of the estimator are explored in simulations. We illustrate with an application to US inflation and output data.

Keywords: Regime switching; smooth transition regression; asymptotic theory. (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 31
Date: 2012-06-12
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (4)

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Journal Article: Asymptotic Theory for Regressions with Smoothly Changing Parameters (2013)
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