Inference of the Trend in a Partially Linear Model
نویسنده
چکیده
In this paper, we construct the uniform confidence band (UCB) of a time-varying trend in a partially linear model. A two-stage local linear regression is proposed to estimate the time-varying trend. Based on this estimate, we develop an invariance principle to construct the UCB of the trend function. The proposed methodology is used to estimate the Non-Accelerating Inflation Rate of Unemployment (NAIRU) in the Phillips curve and to perform inference of the parameter based on its UCB. The empirical results strongly suggest that the U.S. NAIRU is time-varying.
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