Simultaneous inference of a partially linear model in time series

We introduce a new methodology to conduct simultaneous inference of the non‐parametric component in partially linear time series regression models where the non‐parametric part is a multi‐variate unknown function. In particular, we construct a simultaneous confidence region (SCR) for the multi‐variate function by extending the high‐dimensional Gaussian approximation to dependent processes with continuous index sets. Our results allow for a more general dependence structure compared to previous works and are widely applicable to a variety of linear and non‐linear autoregressive processes. We demonstrate the validity of our proposed methodology by examining the finite‐sample performance in the simulation study. Finally, an application in time series, the forward premium regression, is presented, where we construct the SCR for the foreign exchange risk premium from the exchange rate and macroeconomic data.

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Publication Details

Journal
Journal of Time Series Analysis
Published
2024-09-26
DOI
https://doi.org/10.1111/jtsa.12781
Citations
1
Primary Topic
Financial Risk and Volatility Modeling
Type
article
Field-Weighted Citation Impact
0.54

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article

Simultaneous inference of a partially linear model in time series

Kun Ho Kim, Tianwei Zhou, J. Jenny Li, Likai Chen
1 citations
Journal of Time Series Analysis
Financial Risk and Volatility Modeling
0.54
article

Simultaneous inference of a partially linear model in time series

Kun Ho Kim, Tianwei Zhou, J. Jenny Li, Likai Chen
article en
1 citations

Abstract

We introduce a new methodology to conduct simultaneous inference of the non‐parametric component in partially linear time series regression models where the non‐parametric part is a multi‐variate unknown function. In particular, we construct a simultaneous confidence region (SCR) for the multi‐variate function by extending the high‐dimensional Gaussian approximation to dependent processes with continuous index sets. Our results allow for a more general dependence structure compared to previous works and are widely applicable to a variety of linear and non‐linear autoregressive processes. We demonstrate the validity of our proposed methodology by examining the finite‐sample performance in the simulation study. Finally, an application in time series, the forward premium regression, is presented, where we construct the SCR for the foreign exchange risk premium from the exchange rate and macroeconomic data.

Journal of Time Series AnalysisVol. 46(4)
Washington University in St. Louis (US), Concordia University (CA)
National Science Foundation, Rice University
Openalex Percentile: Top 30%
Financial Risk and Volatility Modeling
0.54
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Simultaneous inference of a partially linear model in time series — Kun Ho Kim, Tianwei Zhou, et al. · Journal of Time Series Analysis (2024) | TGRS Research Map | TGRS