Inference on a semiparametric model with global power law and local nonparametric trends
Accepted version
Peer-reviewed
Repository URI
Repository DOI
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Authors
Linton, Oliver Bruce
Gao, Jiti
Peng, Bin
Abstract
We consider a model with both a parametric global trend and a nonparametric local trend. This model may be of interest in a number of applications in economics, finance, ecology, and geology. We first propose two hypothesis tests to detect whether two nested special cases are appropriate. For the case where both null hypotheses are rejected, we propose an estimation method to capture certain aspects of the time trend. We establish consistency and some distribution theory in the presence of a large sample. Moreover, we examine the proposed hypothesis tests and estimation methods through both simulated and real data examples. Finally, we discuss some potential extensions and issues when modelling time effects.
Description
Keywords
49 Mathematical Sciences, 38 Economics, 4905 Statistics, 3802 Econometrics
Journal Title
Econometric Theory
Conference Name
Journal ISSN
0266-4666
1469-4360
1469-4360
Volume Title
36
Publisher
Cambridge University Press