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	FUNCTIONAL COEFFICIENT MOVING AVERAGE MODEL WITH APPLICATIONS TO FORECASTING CHINESE CPI
	Chen, Song Xi ; Lei, Lihua ; Tu, Yundong
	2016
关键词	Consumer price index forecasting functional coefficient model moving average model TIME-SERIES REGRESSION SPECIFICATION TESTS
英文摘要	This article establishes a functional coefficient moving average model (FMA) that allows the coefficient of the classical moving average model to adapt with a covariate. The functional Coefficient is identified as a ratio of two conditional moments. A local linear estimation technique is used for estimation and the asymptotic properties of the resulting estimator are investigated. Its convergence rate depends on whether the underlying function reaches its boundary or not, and the asymptotic distribution can be nonstandard. A model specification test in the spirit of Handle-Mammen (1993) is developed to check the stability of the functional coefficient. Simulations have been conducted to study the finite sample performance of our proposed estimator, and the size and the power of the test. Application is made to CPI data from the China Mainland and to German egg prices to show the efficacy of FMA.; SCI(E); SSCI; ARTICLE; csx@gsm.pku.edu.cn; leilihuallh@126.com; yundong.tu@gsm.pku.edu.cn; 4; 1649-1672; 26
语种	英语
出处	SCI
出版者	Conference on Bayesian Inference, Environment Statistics, Time Series Analysis, and their Applications
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/458825]
专题	数学科学学院
推荐引用方式 GB/T 7714	Chen, Song Xi,Lei, Lihua,Tu, Yundong. FUNCTIONAL COEFFICIENT MOVING AVERAGE MODEL WITH APPLICATIONS TO FORECASTING CHINESE CPI. 2016-01-01.

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