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

• 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
• Institution: Singapore Management University

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....