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Jump-Preserving Varying-Coefficient Models for Nonlinear Time Series

Pavel Cizek and Chao Koo
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Chao Koo: Tilburg University, Center For Economic Research

No 2017-017, Discussion Paper from Tilburg University, Center for Economic Research

Abstract: 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
Date: 2017
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