Bayesian Bandwidth Estimation in Nonparametric Time-Varying Coefficient Models

  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},
  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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