Estimation of a Time-Varying Parameter from Long Range Dependent Data
30 Pages Posted: 23 Sep 2020 Last revised: 23 Aug 2021
Date Written: October 4, 2020
We consider a time series regression with a time-varying parameter and long-range dependent data. No restriction is placed on the behavior of the time-varying parameter, allowing for both smooth changes and abrupt breaks.The time-varying parameter is estimated by a nonlinear orthogonal series estimator which is shown to have mini max estimation error and no spurious jumps in the large sample limit.
Keywords: Time-Varying Parameter, Smooth Trend, Abrupt Breaks, Long-Range Dependence
JEL Classification: C14, C32
Suggested Citation: Suggested Citation