[PDF][PDF] Asymptotic theory for simultaneous inference under dependence

S Karmakar - 2018 - knowledge.uchicago.edu
2018knowledge.uchicago.edu
Time-varying dynamical systems have been studied extensively in the literature of statistics,
economics and related fields. For stochastic processes observed over a long time horizon,
stationarity is often an over-simplified assumption that ignores systematic deviations of
parameters from constancy. For example, in the context of financial datasets, empirical
evidence shows that external factors such as war, terrorist attacks, economic crisis, some
political event etc. introduce such parameter inconstancy. As Bai [4] points out,'failure to take …
Time-varying dynamical systems have been studied extensively in the literature of statistics, economics and related fields. For stochastic processes observed over a long time horizon, stationarity is often an over-simplified assumption that ignores systematic deviations of parameters from constancy. For example, in the context of financial datasets, empirical evidence shows that external factors such as war, terrorist attacks, economic crisis, some political event etc. introduce such parameter inconstancy. As Bai [4] points out,‘failure to take into account parameter changes, given their presence, may lead to incorrect policy implications and predictions’. Thus functional estimation of unknown parameter curves using time-varying models has become an important research topic recently. In this paper, we propose a general setting for simultaneous inference of local linear M-estimators in semi-parametric time-varying models. Our formulation is general enough to allow unifying time-varying models from the usual linear regression, generalized regression and several auto-regression type models together. Before discussing our new contributions in this paper, we provide a brief overview of some previous works in these areas. In the regression context, time-varying models are discussed over the past two decades to describe non-constant relationships between the response and the predictors; see, for instance, Fan and Zhang [26], Fan and Zhang [27], Hoover et al.[33], Huang et al.[34], Lin and Ying [44], Ramsay and Silverman [62], Zhang et al.[88] among others. Consider the following two regression models
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