Department of Economics and Business Economics

Asymptotic theory for regressions with smoothly changing parameters

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  • Eric Hillebrand
  • Marcelo Medeiros, Pontifical Catholic University of Rio de Janeiro, Brazil
  • Junyue Xu, University of California, Berkeley, United States
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
Original languageEnglish
JournalJournal of Time Series Econometrics
Pages (from-to)133-162
Number of pages33
Publication statusPublished - 2013

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