Titel
Estimating nonlinear additive models with nonstationarities and correlated errors
Autor*in
Michael Vogt
Department of Economics and Hausdorff Center for Mathematics, University of Bonn
Abstract
In this paper, we study a nonparametric additive regression model suitable for a wide range of time series applications. Our model includes a periodic component, a deterministic time trend, various component functions of stochastic explanatory variables, and an AR(p) error process that accounts for serial correlation in the regression error. We propose an estimation procedure for the nonparametric component functions and the parameters of the error process based on smooth backfitting and quasimaximum likelihood methods. Our theory establishes convergence rates and the asymptotic normality of our estimators. Moreover, we are able to derive an oracle‐type result for the estimators of the AR parameters: Under fairly mild conditions, the limiting distribution of our parameter estimators is the same as when the nonparametric component functions are known. Finally, we illustrate our estimation procedure by applying it to a sample of climate and ozone data collected on the Antarctic Peninsula.
Stichwort
correlated errorsnonstationarysemiparametricsmooth backfitting
Objekt-Typ
Sprache
Englisch [eng]
Persistent identifier
https://phaidra.univie.ac.at/o:997881
Erschienen in
Titel
Scandinavian Journal of Statistics
Band
46
Ausgabe
1
Seitenanfang
160
Seitenende
199
Verlag
Wiley
Erscheinungsdatum
2018
Zugänglichkeit
Rechteangabe
© 2018 The Authors

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