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Partial Time-Varying Regression Modelling under General Heterogeneity

Author

Listed:
  • Liudas Giraitis

    (Queen Mary University of London, School of Economics and Finance)

  • George Kapetanios

    (King's College London)

  • Yufei Li

    (King's College London)

  • Tien Chuong Nguyen

    (Vietnam National University)

Abstract

This paper explores a semiparametric version of a time-varying regression, where a subset of the regressors have a fixed coefficient and the rest a time-varying one. We provide an estimation method and establish associated theoretical properties of the estimates and standard errors in extended for heterogeneity regression space. In particular, we show that the estimator of the fixed regression coefficient preserves the parametric rate of convergence, and that, despite of general heterogenous environment, the asymptotic normality property for components of regression parameters can be established and the estimators of standard errors have the same form as those given by White (1980). The theoretical properties of the estimator and good finite sample performance are confirmed by Monte Carlo experiments and illustrated by an empirical example on forecasting.

Suggested Citation

  • Liudas Giraitis & George Kapetanios & Yufei Li & Tien Chuong Nguyen, 2024. "Partial Time-Varying Regression Modelling under General Heterogeneity," Working Papers 985, Queen Mary University of London, School of Economics and Finance.
    • Handle: RePEc:qmw:qmwecw:985
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    File URL: https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/2024/wp985.pdf
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    More about this item

    Keywords

    structural change; time-varying parameters; non-parametric estimation;
    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
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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