Open Access
June 2012 Inference of time-varying regression models
Ting Zhang, Wei Biao Wu
Ann. Statist. 40(3): 1376-1402 (June 2012). DOI: 10.1214/12-AOS1010


We consider parameter estimation, hypothesis testing and variable selection for partially time-varying coefficient models. Our asymptotic theory has the useful feature that it can allow dependent, nonstationary error and covariate processes. With a two-stage method, the parametric component can be estimated with a $n^{1/2}$-convergence rate. A simulation-assisted hypothesis testing procedure is proposed for testing significance and parameter constancy. We further propose an information criterion that can consistently select the true set of significant predictors. Our method is applied to autoregressive models with time-varying coefficients. Simulation results and a real data application are provided.


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Ting Zhang. Wei Biao Wu. "Inference of time-varying regression models." Ann. Statist. 40 (3) 1376 - 1402, June 2012.


Published: June 2012
First available in Project Euclid: 10 August 2012

zbMATH: 1257.62049
MathSciNet: MR3015029
Digital Object Identifier: 10.1214/12-AOS1010

Primary: 62G05 , 62G10
Secondary: 62G20

Keywords: information criterion , Locally stationary processes , nonparametric hypothesis testings , time-varying coefficient models , Variable selection

Rights: Copyright © 2012 Institute of Mathematical Statistics

Vol.40 • No. 3 • June 2012
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