Polynomial spline approach for variable selection and estimation in varying coefficient models for time series data

We propose the penalized estimator with the smoothly clipped absolute deviation (SCAD) penalty for varying coefficient time series models, which in autoregressive models actually performs lag order selection. Theoretical properties are established. Some numerical examples are also presented.

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Year of publication:	2015
Authors:	Lai, Peng ; Meng, Jie ; Lian, Heng
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 96.2015, C, p. 21-27
Publisher:	Elsevier
Subject:	Autoregressive models \| BIC \| B-spline basis \| SCAD penalty

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011115968