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arXiv · 1503.05289

Time-varying nonlinear regression models: Nonparametric estimation and model selection

Ting Zhang·Wei Biao Wu
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Abstract

This paper considers a general class of nonparametric time series regression models where the regression function can be time-dependent. We establish an asymptotic theory for estimates of the time-varying regression functions. For this general class of models, an important issue in practice is to address the necessity of modeling the regression function as nonlinear and time-varying. To tackle this, we propose an information criterion and prove its selection consistency property. The results are applied to the U.S. Treasury interest rate data.

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Ting Zhang, Wei Biao Wu. 2015-03-18. Time-varying nonlinear regression models: Nonparametric estimation and model selection. https://doi.org/10.1214/14-aos1299

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