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Activity Number: 29
Type: Contributed
Date/Time: Sunday, July 29, 2012 : 2:00 PM to 3:50 PM
Sponsor: Section on Nonparametric Statistics
Abstract - #304586
Title: Model-Building for Partially Time-Varying Coefficient Models
Author(s): Ting Zhang*+
Companies: The University of Chicago
Address: Department of Statistics, Chicago, IL, 60637, United States
Keywords: Hard thresholding ; Information criterion ; LASSO ; Partially time-varying coefficient models ; SCAD ; Variable selection

I consider the problem of model identification for partially time-varying coefficient models where both the covariates and errors are modeled as locally stationary time series. I first introduce a local linear shrinkage method which is capable of doing variable selection and parameter estimation simultaneously in a computationally efficient manner. Due to the fear of loosing efficiency, an information criterion is further proposed for distinguishing time-varying and time-invariant components. Numerical examples are presented to illustrate the proposed methods.

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