Asymptotic theory for regressions with smoothly changing parameters

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  • Eric Hillebrand
  • Marcelo Medeiros, Pontifical Catholic University of Rio de Janeiro, Brasilien
  • Junyue Xu, University of California, Berkeley, 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 pT-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
data.
OriginalsprogEngelsk
TidsskriftJournal of Time Series Econometrics
Vol/bind5
Nummer2
Sider (fra-til)133-162
Antal sider33
ISSN2194-6507
DOI
StatusUdgivet - 2013

    Forskningsområder

  • Regime switching, Smooth transition regression, Asymptotic theory

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