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Model Building for Partially Time-Varying Coefficient Models

Event Type
Statistics Department & Econometrics
106B8 Engineering Hall
Nov 7, 2013   4:00 - 5:15 pm  
Ting Zhang (University of Iowa)
Originating Calendar
Department of Statistics Event Calendar

Abstract: I consider the problem of variable selection for linear regression models with potentially time-varying coefficients. By allowing the response variable and explanatory variables be jointly a nonstationary process, the proposed methods are widely applicable to nonstationary and dependent observations, for example time-varying autoregressive processes with heteroscedastic errors. I propose a local linear shrinkage method that is capable of achieving variable selection and parameter estimation simultaneously in a computationally efficient manner. Its selection consistency along with the favorable oracle property is established. Due to the fear of losing efficiency, an information criterion is further proposed for distinguishing time-varying and time-constant components. Numerical examples are presented to illustrate the proposed methods.

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