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A partially time varying regression model
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.
Date:
5 May 2023, 14:15
Venue:
Manor Road Building, Manor Road OX1 3UQ
Venue Details:
Room A or https://zoom.us/j/93054414699?pwd=NEFiL2ZNc0t5N3ZIUTE2VEh5OXhZUT09
Speaker:
Liudas Giraitis (Queen Mary University London)
Organising department:
Department of Economics
Part of:
Nuffield Econometrics Seminar
Booking required?:
Not required
Audience:
Members of the University only
Editor:
Daria Ihnatenko
