【摘要】 本文基于局部平稳时间序列数据的特征提出一个新的半参数模型—时变单指标变系数模型.本文采用二步估计的思想给出模型中参数和非参数系数函数的估计方法,并研究这些估计量的渐近性质,包括相合性和渐近正态性.进一步,为了判别模型中的连接函数是否具有时变性质,本文提出一种假设检验方法,构造相应的检验统计量并证明它的渐近性质.最后,通过模拟和实例展示本文所提估计和检验方法是有效和切实可行的.更多还原

【Abstract】 In this paper, we propose a novel index coefficient model for locally stationary time series data.Through a two-stage procedure, the estimation is derived and the asymptotic properties of the estimators are given. Moreover, we develop a test statistic for testing if the coefficient functions are time invariant, and derive the asymptotic distribution of the test statistic. A simulation study is conducted to assess the finite sample performances. Finally, a real data analysis is provided. The nice final sample simulation performances illustrate the efficiency of our proposed model and estimation.更多还原