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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Main Authors: | LIEBERMAN, Offer, Peter C. B. PHILLIPS |
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Format: | text |
Language: | English |
Published: |
Institutional Knowledge at Singapore Management University
2014
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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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