Data-Driven Bandwidth Selection for Nonstationary Semiparametric Models Academic Article

abstract

• This article extends the asymptotic results of the traditional least squares cross-validatory (CV) bandwidth selection method to semiparametric regression models with nonstationary data. Two main findings are that (a) the CV-selected bandwidth is stochastic even asymptotically and (b) the selected bandwidth based on the local constant method converges to 0 at a different speed than that based on the local linear method. Both findings are in sharp contrast to existing results when working with weakly dependent or independent data. Monte Carlo simulations confirm our theoretical results and show that the automatic data-driven method works well. 2011 American Statistical Association.

authors

• Li, Qi

published proceedings

• JOURNAL OF BUSINESS & ECONOMIC STATISTICS

author list (cited authors)

• Sun, Y., & Li, Q. i.

citation count

• 14

complete list of authors

• Sun, Yiguo||Li, Qi

publication date

• January 2011

publisher

• Taylor & Francis  Publisher

published in

• Journal of Business and Economic Statistics  Journal

keywords

• Integrated Time Series
• Local Constant
• Local Linear
• Semiparametric Varying-coefficient Model

Digital Object Identifier (DOI)

• 10.1198/jbes.2011.09159

start page

• 541

end page

• 551

volume

• 29

issue

• 4

URL

• http://dx.doi.org/10.1198/jbes.2011.09159