Inference of the Trend in a Partially Linear Model with Locally Stationary Regressors
构建了局部平稳回归元部分线性模型中非参数趋势的一致置信带，用于估计菲利普斯曲线中的非加速通胀失业率（NAIRU），实证表明美国NAIRU随时间变化。
In this article, we construct the uniform confidence band (UCB) of nonparametric trend in a partially linear model with locally stationary regressors. A two-stage semiparametric regression is employed to estimate the trend function. 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.