Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/248789 
Year of Publication: 
2021
Series/Report no.: 
Tinbergen Institute Discussion Paper No. TI 2021-107/III
Publisher: 
Tinbergen Institute, Amsterdam and Rotterdam
Abstract: 
We propose a sieve bootstrap framework to conduct pointwise and simultaneous inference for time-varying coefficient regression models based on a nonparametric local linear estimator. The asymptotic validity of the sieve bootstrap in the presence of autocorrelation is established. We find that it automatically produces a consistent estimation of nuisance parameters, both at the interior and boundary points. In addition, we develop a bootstrap test for parameter constancy and show that it is asymptotically correctly sized. An extensive simulation study supports our findings. The proposed methods are applied to assess the price development of CO2 certificates in the European Emissions Trading System (EU ETS). We find evidence of time variation in the relationship between allowance prices and their fundamental price drivers.
Subjects: 
sieve bootstrap
nonparametric estimation
simultaneous confidence bands
energy economics
emission trading
JEL: 
C14
C22
Q48
Q56
Document Type: 
Working Paper

Files in This Item:
File
Size
942.35 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.