Nonparametric LAD cointegrating regression

DOI10.1016/J.JMVA.2013.02.009zbMath1359.62370OpenAlexW2161222827MaRDI QIDQ391595

Toshio Honda

Publication date: 10 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2013.02.009

zbMATH Keywords

local polynomial regressionlocal timebiasleast absolute deviationintegrated processnonlinear cointegration

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (2)

Nonparametric inference for quantile cointegrations with stationary covariates ⋮ Nonstationary nonlinear quantile regression

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Functional-coefficient models for nonstationary time series data
• Quantile cointegrating regression
• A specification test for nonlinear nonstationary models
• Robust estimation in a nonlinear cointegration model
• Nonparametric estimation of conditional medians for linear and related processes
• Nonparametric estimation in a nonlinear cointegration type model
• Specification testing in nonlinear and nonstationary time series autoregression
• Nonparametric estimation in null recurrent time series.
• Nonlinear time series. Nonparametric and parametric methods
• Weak convergence and empirical processes. With applications to statistics
• ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS
• ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
• Structural Nonparametric Cointegrating Regression
• Nonlinear Time Series
• Regression Quantiles
• Prediction and nonparametric estimation for time series with heavy tails
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• REGRESSION QUANTILES FOR TIME SERIES
• Nonparametric estimation of a conditional quantile for \(\alpha\)-mixing processes

This page was built for publication: Nonparametric LAD cointegrating regression