Simultaneous inference for time-varying models

Abstract: A general class of time-varying regression models is considered in this paper. We estimate the regression coefficients by using local linear M-estimation. For these estimators, weak Bahadur representations are obtained and are used to construct simultaneous confidence bands. For practical implementation, we propose a bootstrap based method to circumvent the slow logarithmic convergence of the theoretical simultaneous bands. Our results substantially generalize and unify the treatments for several time-varying regression and auto-regression models. The performance for ARCH and GARCH models is studied in simulations and a few real-life applications of our study are presented through analysis of some popular financial datasets.