A0775
Title: Estimation of semivarying coefficient time series models with ARMA errors
Authors: Lei Huang - Southwest Jiaotong University (China) [presenting]
Abstract: Serial correlation in the residuals of time series models can cause bias in both model estimation and prediction. However, models with such serially correlated residuals are difficult to estimate, especially when the regression function is nonlinear. Existing estimation methods require strong assumption for the relation between the residuals and the regressors, which excludes the commonly used autoregressive models in time series analysis. By extending the Whittle likelihood estimation, a semi-parametric autoregressive model with ARMA sequence of residuals is investigated in details. Asymptotic normality of the estimators is established, and a model selection procedure is proposed. Numerical examples are employed to illustrate the performance of the proposed estimation method and the necessity of incorporating the serial correlation in the residuals.
