During Michaelmas Term, OxTalks will be moving to a new platform (full details are available on the Staff Gateway).
For now, continue using the current page and event submission process (freeze period dates to be advised).
If you have any questions, please contact halo@digital.ox.ac.uk
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. In particular, we show that the estimator of the fixed regression coefficient preserves the parametric rate of convergence. Theoretical properties of the estimator are confirmed by Monte Carlo experiments and illustrated by an empirical example.