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Inference on a semiparametric model with global power law and local nonparametric trends

Accepted version
Peer-reviewed

Type

Article

Change log

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

Volume Title

36

Publisher

Cambridge University Press