کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1147766 957793 2011 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Statistical inference in partially time-varying coefficient models
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Statistical inference in partially time-varying coefficient models
چکیده انگلیسی

A partially time-varying coefficient time series model is introduced to characterize the nonlinearity and trending phenomenon. To estimate the regression parameter and the nonlinear coefficient function, the profile least squares approach is applied with the help of local linear approximation. The asymptotic distributions of the proposed estimators are established under mild conditions. Meanwhile, the generalized likelihood ratio test is studied and the test statistics are demonstrated to follow asymptotic χ2-distributionχ2-distribution under the null hypothesis. Furthermore, some extensions of the proposed model are discussed and several numerical examples are provided to illustrate the finite sample behavior of the proposed methods.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 141, Issue 2, February 2011, Pages 995–1013
نویسندگان
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