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Activity Number: 524
Type: Invited
Date/Time: Thursday, August 2, 2007 : 10:30 AM to 12:20 PM
Sponsor: Business and Economics Statistics Section
Abstract - #307817
Title: Local Adaptive Estimation for Nonstationary Time Series
Author(s): Sebastien Van Bellegem*+
Companies: Universite catholique de Louvain
Address: Institut de Statistique, Louvain-la-Neuve, B-1348, Belgium
Keywords: Adaptive estimation ; Locally stationary processes ; Structural Break ; Unit Root ; Time-varying parameters
Abstract:

We present a new method to fit locally a stationary model to a nonstationary process. The method is based on a sequence of local tests of homogeneity, to detect segments of data that are nearly stationary. We establish some results concerning the optimality of the procedure, under mild assumptions. We also study the performance of the procedure in particular situations, such as time series with structural breaks or with a smooth evolution in their autocovariance function over time. An application of the procedure to econometric time series illustrates the reasonable performance of the procedure in practice.

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Revised September, 2007