Jump-Preserving Varying-Coefficient Models for Nonlinear Time Series
Pavel Cizek and
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Chao Koo: Tilburg University, Center For Economic Research
No 2017-017, Discussion Paper from Tilburg University, Center for Economic Research
An important and widely used class of semiparametric models is formed by the varyingcoefficient models. Although the varying coefficients are traditionally assumed to be smooth functions, the varying-coefficient model is considered here with the coefficient functions containing a finite set of discontinuities. Contrary to the existing nonparametric and varying-coefficient estimation of piecewise smooth functions, the varying-coefficient models are considered here under dependence and are applicable in time series with heteroscedastic and serially correlated errors. Additionally, the conditional error variance is allowed to exhibit discontinuities at a finite set of points too. The (uniform) consistency and asymptotic normality of the proposed estimators are established and the finite-sample performance is tested via a simulation study.
Keywords: change point; Heteroscedasticity; local linear fitting; nonlinear time series; varying-coefficient models (search for similar items in EconPapers)
JEL-codes: C13 C14 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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