Abstract
An important and widely used class of semiparametric models is formed by the varying-coefficient 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 heteroskedastic 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 and in a real-data example.
Original language | English |
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Pages (from-to) | 58-96 |
Journal | Econometrics and Statistics |
Volume | 19 |
DOIs | |
Publication status | Published - Jul 2021 |
Keywords
- asymptotics
- discontinuity
- heteroskedasticity
- local linear fitting
- nonlinear time series
- varying-coefficient models