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Estimation for Single-index and Partially Linear Single-index Nonstationary Time Series Models

Author

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  • Chaohua Dong
  • Jiti Gao
  • Dag Tjostheim

Abstract

Estimation in two classes of popular models, single-index models and partially linear single-index models, is studied in this paper. Such models feature nonstationarity. Orthogonal series expansion is used to approximate the unknown integrable link function in the models and a profile approach is used to derive the estimators. The findings include dual convergence rates of the estimators for the single-index models and a trio of convergence rates for the partially linear single-index models. More precisely, the estimators for single-index model converge along the direction of the true parameter vector at rate of n^(-1/4), while at rate of n^(-3/4) along all directions orthogonal to the true parameter vector; on the other hand, the estimators of the index vector for the partially single-index model retain the dual convergence rates as in the single-index model but the estimators of the coefficients in the linear part of the model possess rate n^(-1). Monte Carlo simulation verifies these theoretical results. An empirical study on the dataset of aggregate disposable income, consumption, investment and real interest rate in the United States between 1960:1-2009:3 furnishes an application of the proposed estimation procedures in practice.

Suggested Citation

  • Chaohua Dong & Jiti Gao & Dag Tjostheim, 2014. "Estimation for Single-index and Partially Linear Single-index Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 7/14, Monash University, Department of Econometrics and Business Statistics.
    • Handle: RePEc:msh:ebswps:2014-7
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    File URL: http://business.monash.edu/econometrics-and-business-statistics/research/publications/ebs/wp07-14.pdf
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    References listed on IDEAS

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    Cited by:

    1. Dong, Chaohua & Gao, Jiti & Peng, Bin, 2015. "Semiparametric single-index panel data models with cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 188(1), pages 301-312.

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    More about this item

    Keywords

    onstationarity; orthogonal series expansion; single-index models; partially linear single-index models; dual convergence rates; a trio of convergence rates.;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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