Asymptotic Theory for Regressions with Smoothly Changing Parameters
AbstractWe derive asymptotic properties of the quasi maximum likelihood estimator of smooth transition regressions when time is the transition variable. The consistency of the estimator and its asymptotic distribution are examined. It is shown that the estimator converges at the usual square-root-of-T rate and has an asymptotically normal distribution. Finite sample properties of the estimator are explored in simulations. We illustrate with an application to US inflation and output data.
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Bibliographic InfoPaper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2012-31.
Date of creation: 12 Jun 2012
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Web page: http://www.econ.au.dk/afn/
Regime switching; smooth transition regression; asymptotic theory.;
Other versions of this item:
- Hillebrand Eric & Medeiros Marcelo C. & Xu Junyue, 2013. "Asymptotic Theory for Regressions with Smoothly Changing Parameters," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 133-162, April.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-14 (All new papers)
- NEP-ECM-2012-07-14 (Econometrics)
- NEP-ETS-2012-07-14 (Econometric Time Series)
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