Norming rates and limit theory for some time-varying coefficient autoregressions

Norming rates and limit theory for some time-varying coefficient autoregressions

A time-varying autoregression is considered with a similarity-based coefficient and possible drift. It is shown that the random-walk model has a natural interpretation as the leading term in a small-sigma expansion of a similarity model with an exponential similarity function as its AR coefficient....

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Bibliographic Details
Main Authors: LIEBERMAN, Offer, Peter C. B. PHILLIPS
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2014
Subjects:
Autoregression
Consistency
Nonlinear diffusion
Non-stationarity
Similarity
Small-sigma approximation
Stochastic unit root
Time-varying coefficients
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1835
https://ink.library.smu.edu.sg/context/soe_research/article/2834/viewcontent/NormingRatesLimitTheoryTime_varyingCoefficientAutoregressions_pp.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1835
https://ink.library.smu.edu.sg/context/soe_research/article/2834/viewcontent/NormingRatesLimitTheoryTime_varyingCoefficientAutoregressions_pp.pdf

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