IDEAS home Printed from https://ideas.repec.org/a/bla/stanee/v72y2018i2p90-108.html
   My bibliography  Save this article

Semiparametric time series regression modeling with a diverging number of parameters

Author

Listed:
  • Shengchao Zheng
  • Degao Li

Abstract

Variable selection and error structure determination of a partially linear model with time series errors are important issues. In this paper, we investigate the regression coefficient and autoregressive order shrinkage and selection via the smoothly clipped absolute deviation penalty for a partially linear model with a divergent number of covariates and finite order autoregressive time series errors. Both consistency and asymptotic normality of the proposed penalized estimators are derived. The oracle property of the resultant estimators is proved. Simulation studies are carried out to assess the finite†sample performance of the proposed procedure. A real data analysis is made to illustrate the usefulness of the proposed procedure as well.

Suggested Citation

  • Shengchao Zheng & Degao Li, 2018. "Semiparametric time series regression modeling with a diverging number of parameters," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(2), pages 90-108, May.
    • Handle: RePEc:bla:stanee:v:72:y:2018:i:2:p:90-108
    DOI: 10.1111/stan.12121
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/stan.12121
    Download Restriction: no
    File URL: https://libkey.io/10.1111/stan.12121?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:stanee:v:72:y:2018:i:2:p:90-108. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0039-0402 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.