Non-stationary structural model with time-varying demand elasticities

作者：Kim Kun Ho; Zhou Zhou; Wu Wei Biao^*

来源：Journal of Statistical Planning and Inference, 2010, 140(12): 3809-3819.

DOI：10.1016/j.jspi.2010.04.045

• Time-varying coefficient
• Local stationarity
• Local linear regression
• Structural economic model
• Time-varying demand elasticity
• Nonparametric bootstrap

The paper considers local linear regression of a time series model with non-stationary regressors and errors. Asymptotic property of the local linear estimator is derived under a new dependence measure of non-stationary time series. We apply the local linear regression method to estimate the "time-varying" coefficients of an economic-causal model for the industrial sector of the U.S. economy. Nonparametric bootstrap test on the time-varying coefficients strongly suggests that the price/income elasticities of the U.S. durable goods demand are time-varying.

• 出版日期2010-12