A0261
Title: A partially time-varying regression model
Authors: Yufei Li - Kings College London (United Kingdom) [presenting]
Liudas Giraitis - Queen Mary University of London (United Kingdom)
George Kapetanios - Kings College London (United Kingdom)
Tien Chuong Nguyen - Queen Mary University of London (United Kingdom)
Abstract: A semiparametric version of a time-varying regression is explored, where a subset of the regressors have a fixed coefficient and the rest a time-varying one. An estimation method is provided and the associated theoretical properties of the estimates are established. In particular, it is shown that the estimator of the fixed regression coefficient preserves the parametric rate of convergence. The theoretical properties of the estimator and good finite sample performance are confirmed by Monte Carlo experiments and illustrated by an empirical example of forecasting.
