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Polynomial spline approach for variable selection and estimation in varying coefficient models for time series data

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  • Lai, Peng
  • Meng, Jie
  • Lian, Heng

Abstract

We propose the penalized estimator with the smoothly clipped absolute deviation (SCAD) penalty for varying coefficient time series models, which in autoregressive models actually performs lag order selection. Theoretical properties are established. Some numerical examples are also presented.

Suggested Citation

  • Lai, Peng & Meng, Jie & Lian, Heng, 2015. "Polynomial spline approach for variable selection and estimation in varying coefficient models for time series data," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 21-27.
    • Handle: RePEc:eee:stapro:v:96:y:2015:i:c:p:21-27
    DOI: 10.1016/j.spl.2014.09.008
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