Semiparametric model building for regression models with time-varying parameters
From MaRDI portal
Publication:494386
DOI10.1016/j.jeconom.2015.02.021zbMath1337.62386OpenAlexW2133729210MaRDI QIDQ494386
Publication date: 1 September 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.021
nonstationary processesinformation criteriontime-varying coefficient modelspenalization methodssemiparametric variable selection
Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)
Related Items
Simultaneous variable selection and structural identification for time‐varying coefficient models, A Stratified Penalized Kernel Method for Semiparametric Variable Labeling and Estimation of Multi-Output Time-Varying Coefficient Models for Nonstationary Time Series, Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates, Tail adversarial stability for regularly varying linear processes and their extensions, Semiparametric model for covariance regression analysis
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Adaptive Lasso and Its Oracle Properties
- Nonparametric estimation of time varying parameters under shape restrictions
- Trending time-varying coefficient time series models with serially correlated errors
- Statistical methods with varying coefficient models
- Inference of time-varying regression models
- Local polynomial fitting in semivarying coefficient model
- On recursive estimation for time varying autoregressive processes
- Profile likelihood inferences on semiparametric varying-coefficient partially linear models
- One-step sparse estimates in nonconcave penalized likelihood models
- Current developments in time series modelling
- Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
- \(k\)-stationarity and wavelets.
- Fitting time series models to nonstationary processes
- Nonparametric regression with correlated errors.
- Statistical estimation in varying coefficient models
- Efficient estimation of a semiparametric partially linear varying coefficient model
- Adaptive covariance estimation of locally stationary processes
- Asymptotics for Lasso-type estimators.
- Generalized likelihood ratio statistics and Wilks phenomenon
- Least angle regression. (With discussion)
- On the Kullback-Leibler information divergence of locally stationary processes
- Nonlinear wavelet estimation of time-varying autoregressive processes
- Regularized estimation of large covariance matrices
- Variable selection in semiparametric regression modeling
- Variable selection using MM algorithms
- Simultaneous Confidence Bands and Hypothesis Testing in Varying-coefficient Models
- Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression
- A unified variable selection approach for varying coefficient models
- Confidence estimation of the covariance function of stationary and locally stationary processes
- Testing parametric assumptions of trends of a nonstationary time series
- Efficient estimation for semivarying-coefficient models
- Semiparametric Estimation by Model Selection for Locally Stationary Processes
- Smoothing Spline Models with Correlated Random Errors
- Nonparametric smoothing estimates of time-varying coefficient models with longitudinal data
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Asymptotic Confidence Regions for Kernel Smoothing of a Varying-Coefficient Model with Longitudinal Data
- Efficient Estimation and Inferences for Varying-Coefficient Models
- Functional-Coefficient Regression Models for Nonlinear Time Series
- Varying-coefficient models and basis function approximations for the analysis of repeated measurements
- Order Estimation and Discrimination Between Stationary and Time-Varying (TVAR) Autoregressive Models
- Simultaneous Inference of Linear Models with Time Varying Coefficients
- Functional-Coefficient Autoregressive Models
- A Statistical View of Some Chemometrics Regression Tools
- Inference of Trends in Time Series
- Wavelets in statistics: A review
- Shrinkage Estimation of the Varying Coefficient Model
- Statistical Estimation in Generalized Multiparameter Likelihood Models
- Variable selection in partially time-varying coefficient models
- Nonlinear system theory: Another look at dependence
- Variable Selection in Nonparametric Varying-Coefficient Models for Analysis of Repeated Measurements
- Model Selection and Estimation in Regression with Grouped Variables
- Tuning parameter selectors for the smoothly clipped absolute deviation method
- Adaptive Lasso for Cox's proportional hazards model
- Semiparametric estimation and testing of the trend of temperature series
- SLEX Analysis of Multivariate Nonstationary Time Series
