{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,26]],"date-time":"2026-09-26T13:35:22Z","timestamp":1790429722917,"version":"4.1.0"},"reference-count":30,"publisher":"Cambridge University Press (CUP)","license":[{"start":{"date-parts":[[2026,7,13]],"date-time":"2026-07-13T00:00:00Z","timestamp":1783900800000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"abstract":"<jats:p>We develop a novel asymptotic theory for local polynomial extremum estimators of time-varying parameters in a broad class of nonlinear time-series models, including discrete-valued ones. We show that the proposed estimators are asymptotically normally distributed under weak conditions. We also provide a precise characterization of the leading bias term due to smoothing. We demonstrate the usefulness of our general results by establishing primitive conditions for local (quasi-)maximum-likelihood estimators of time-varying models threshold autoregressions, ARCH models and Poisson autoregressions with exogenous covariates, to be normally distributed in large samples and characterize their leading biases. An empirical study of U.S. corporate default counts demonstrates the applicability of the proposed local linear estimator for Poisson autoregressions, shedding new light on the dynamic properties of U.S. corporate defaults.<\/jats:p>","DOI":"10.1017\/s0266466626100449","type":"journal-article","created":{"date-parts":[[2026,7,13]],"date-time":"2026-07-13T07:44:26Z","timestamp":1783928666000},"page":"1-47","source":"Crossref","is-referenced-by-count":1,"title":["LOCAL POLYNOMIAL ESTIMATION OF TIME-VARYING PARAMETERS IN NONLINEAR MODELS"],"prefix":"10.1017","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-9713-1784","authenticated-orcid":false,"given":"Dennis","family":"Kristensen","sequence":"first","affiliation":[{"id":[{"id":"https:\/\/ror.org\/046865y68","id-type":"ROR","asserted-by":"publisher"}],"name":"University College London"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Young Jun","family":"Lee","sequence":"additional","affiliation":[{"id":[{"id":"https:\/\/ror.org\/02jx3x895","id-type":"ROR","asserted-by":"publisher"}],"name":"Hanyang University"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2026,7,13]]},"reference":[{"key":"S0266466626100449_r12","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.10.011"},{"key":"S0266466626100449_r6","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1034276620"},{"key":"S0266466626100449_r14","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1995.10476496"},{"key":"S0266466626100449_r5","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.017"},{"key":"S0266466626100449_r15","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmva.2010.11.002"},{"key":"S0266466626100449_r18","doi-asserted-by":"publisher","DOI":"10.1111\/iere.12161"},{"key":"S0266466626100449_r17","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(90)90096-C"},{"key":"S0266466626100449_r2","doi-asserted-by":"publisher","DOI":"10.1016\/j.spa.2022.06.005"},{"key":"S0266466626100449_r26","doi-asserted-by":"publisher","DOI":"10.1016\/S1573-4412(05)80005-4"},{"key":"S0266466626100449_r28","doi-asserted-by":"publisher","DOI":"10.1214\/18-AOS1739"},{"key":"S0266466626100449_r11","doi-asserted-by":"publisher","DOI":"10.1016\/j.spa.2007.12.004"},{"key":"S0266466626100449_r24","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfi.2010.03.002"},{"key":"S0266466626100449_r3","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177693494"},{"key":"S0266466626100449_r10","first-page":"1673","article-title":"Theory and inference for a class of nonlinear models with application to time series of counts","volume":"26","author":"Davis","year":"2016","journal-title":"Statistica Sinica"},{"key":"S0266466626100449_r4","doi-asserted-by":"publisher","DOI":"10.1016\/j.red.2011.10.001"},{"key":"S0266466626100449_r30","doi-asserted-by":"publisher","DOI":"10.2307\/3214571"},{"key":"S0266466626100449_r1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2016.02.007"},{"key":"S0266466626100449_r21","doi-asserted-by":"crossref","unstructured":"Inoue, A. , Jin, L. , & Pelletier, D. (2019). Local-linear estimation of time-varying-parameter GARCH models and associated risk measures. Working Paper.","DOI":"10.1093\/jjfinec\/nbaa026"},{"key":"S0266466626100449_r8","doi-asserted-by":"publisher","DOI":"10.1214\/009053606000000227"},{"key":"S0266466626100449_r9","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01202.x"},{"key":"S0266466626100449_r29","doi-asserted-by":"publisher","DOI":"10.3150\/20-BEJ1210"},{"key":"S0266466626100449_r19","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2014.897954"},{"key":"S0266466626100449_r23","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466605050474"},{"key":"S0266466626100449_r16","doi-asserted-by":"publisher","DOI":"10.1214\/07-AOS510"},{"key":"S0266466626100449_r20","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2004.09.005"},{"key":"S0266466626100449_r27","doi-asserted-by":"publisher","DOI":"10.1214\/18-AOS1743"},{"key":"S0266466626100449_r22","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00130"},{"key":"S0266466626100449_r13","doi-asserted-by":"publisher","DOI":"10.1201\/9780203748725"},{"key":"S0266466626100449_r7","doi-asserted-by":"publisher","DOI":"10.3150\/17-BEJ1011"},{"key":"S0266466626100449_r25","volume-title":"Local regression and likelihood","author":"Loader","year":"2006"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466626100449","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,7,13]],"date-time":"2026-07-13T07:44:27Z","timestamp":1783928667000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466626100449\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026,7,13]]},"references-count":30,"alternative-id":["S0266466626100449"],"URL":"https:\/\/doi.org\/10.1017\/s0266466626100449","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2026,7,13]]}}}