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.
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.
Original language | English |
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Place of Publication | Tilburg |
Publisher | CentER, Center for Economic Research |
Number of pages | 75 |
Volume | 2017-017 |
Publication status | Published - 22 Mar 2017 |
Publication series
Name | CentER Discussion Paper |
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Volume | 2017-017 |
Keywords
- change point
- Heteroscedasticity
- local linear fitting
- nonlinear time series
- varying-coefficient models