• DOI:10.1080/07350015.2016.1255216
Corpus ID: 1901613

Bayesian Bandwidth Estimation in Nonparametric Time-Varying Coefficient Models

@article{Cheng2019BayesianBE,
  title={Bayesian Bandwidth Estimation in Nonparametric Time-Varying Coefficient Models},
  author={Tingting Cheng and Jiti Gao and X. Zhang},
  journal={Journal of Business & Economic Statistics},
  year={2019},
  volume={37},
  pages={1 - 12}
}

Tingting Cheng, Jiti Gao, X. Zhang

Published 2019

Mathematics

Journal of Business & Economic Statistics

Bandwidth plays an important role in determining the performance of nonparametric estimators, such as the local constant estimator. In this article, we propose a Bayesian approach to bandwidth estimation for local constant estimators of time-varying coefficients in time series models. We establish a large sample theory for the proposed bandwidth estimator and Bayesian estimators of the unknown parameters involved in the error density. A Monte Carlo simulation study shows that (i) the proposed… CONTINUE READING

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