University of Bath

Nonparametric estimation of time-varying parameters in nonlinear models

In this seminar in econometric theory, Professor Denis Kristensen from the University College London will speak about time-varying parameters.

21 Mar 20184.15pm
21 Mar 20185.45pm

We propose nonparametric estimators of time-varying parameters in a general class of non-linear time series models. Under weak regularity conditions, we show the proposed estimators are consistent and follow a normal distribution in large samples. A key concept in our analysis is local stationarity, for which we provide primitive conditions to hold in the case of Markov processes. To demonstrate the usefulness of our general results, we provide primitive conditions for our theory to apply in a number of examples, including ARCH models and Poisson auto-regressions with time-varying parameters.