THE DISTRIBUTION OF ROLLING REGRESSION ESTIMATORS

Zongwu Cai and Ted Juhl
Additional contact information
Zongwu Cai: Department of Economics, The University of Kansas, Lawrence, KS 66045, USA
Ted Juhl: School of Business, The University of Kansas, Lawrence, KS 66045, USA

No 202218, WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS from University of Kansas, Department of Economics

Abstract: We establish the asymptotic distribution for rolling linear regression models using various window widths. The limiting distribution depends on the width of the rolling window and on a "bias process" that is typically ignored in practice. Based on the asymptotic distribution, we tabulate critical values used to find uniform confidence intervals for the average values of regression parameters over the windows. We propose a corrected rolling regression technique that removes the bias process by rolling over smoothed parameter estimates. The procedure is illustrated using a series of Monte Carlo experiments. The paper includes an empirical example to show how the confidence bands suggest alternative conclusions about the persistence of inflation.

Keywords: Parameter instability; Nonparametric estimation; Rolling regressions; Uniform confidence intervals; Nonstationary (search for similar items in EconPapers)
JEL-codes: C14 C22 C5 (search for similar items in EconPapers)
Date: 2020-08, Revised 2022-12
New Economics Papers: this item is included in nep-big
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www2.ku.edu/~kuwpaper/2022Papers/202218.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www2.ku.edu:80 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.)

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:kan:wpaper:202218

Access Statistics for this paper

More papers in WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS from University of Kansas, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Professor Zongwu Cai ().