Projects per year
In this article, we develop a series estimation method for unknown time-inhomogeneous functionals of Lévy processes involved in econometric time series models. To obtain an asymptotic distribution for the proposed estimators, we establish a general asymptotic theory for partial sums of bivariate functionals of time and nonstationary variables. These results show that the proposed estimators in different situations converge to quite different random variables. In addition, the rates of convergence depend on various factors rather than just the sample size. Finite sample simulations are provided to evaluate the finite sample performance of the proposed model and estimation method.
|Number of pages||26|
|Publication status||Published - 2019|
- Asymptotic theory
- Lévy process
- orthogonal series expansion
- series estimation
- time-inhomogeneous functional
- 2 Finished
Non- and Semi-Parametric Panel Data Econometrics: Theory and Applications
Gao, J. & Phillips, P.
Australian Research Council (ARC), Monash University, Yale University
1/01/15 → 31/12/19
Trending Time Series Models with Non- and Semi-Parametric Methods
Gao, J., Zhang, X. & Tjostheim, D.
Australian Research Council (ARC), Monash University
3/01/13 → 21/03/16