Eric Hillebrand

Asymptotic Theory for Regressions with Smoothly Changing Parameters

Publikation: Working paperForskning


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  • Eric Tobias Hillebrand
  • Marcelo C. Medeiros, Pontifical Catholic University of Rio de Janeiro, Brasilien
  • Junyue Xu, Louisiana State University, USA
We derive asymptotic properties of the quasi maximum likelihood estimator of smooth transition regressions when time is the transition variable. The consistency of the estimator and its asymptotic distribution are examined. It is shown that the estimator converges at the usual square-root-of-T rate and has an asymptotically normal distribution. Finite sample properties of the estimator are explored in simulations. We illustrate with an application to US inflation and output
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider31
StatusUdgivet - 2 jul. 2012
SerietitelCREATES Research Papers


  • Regime switching, smooth transition regression, asymptotic theory

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