Chen, Song Xi and Lei, Lihua and Tu, Yundong (2014): Functional Coefficient Moving Average Model with Applications to forecasting Chinese CPI. Forthcoming in: Statistica Sinica

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Abstract
This article establishes the functional coefficient moving average model (FMA), which 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. Local linear estimation technique is used for estimation and asymptotic properties of the resulting estimator are investigated. Its convergence rate depends on whether the underlying function reaches its boundary or not, and asymptotic distribution could be nonstandard. A model specification test in the spirit of HardleMammen (1993) is developed to check the stability of the functional coefficient. Intensive simulations have been conducted to study the finite sample performance of our proposed estimator, and the size and the power of the test. The real data example on CPI data from China Mainland shows the efficacy of FMA. It gains more than 20% improvement in terms of relative mean squared prediction error compared to moving average model.
Item Type:  MPRA Paper 

Original Title:  Functional Coefficient Moving Average Model with Applications to forecasting Chinese CPI 
English Title:  Functional Coefficient Moving Average Model with Applications to forecasting Chinese CPI 
Language:  English 
Keywords:  Moving Average model, functional coefficient model, forecasting, Consumer Price Index. 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C13  Estimation: General C  Mathematical and Quantitative Methods > C5  Econometric Modeling C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C51  Model Construction and Estimation C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C53  Forecasting and Prediction Methods ; Simulation Methods 
Item ID:  67074 
Depositing User:  Professor Song Xi Chen 
Date Deposited:  11 Oct 2015 09:10 
Last Modified:  02 Oct 2019 01:05 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/67074 