Estimation in semi-parametric regression with non-stationary regressors

DOI10.3150/10-BEJ344zbMath1238.62044arXiv1205.3324OpenAlexW2070824439MaRDI QIDQ418246

Degui Li, Jia Chen, J. T. Gao

Publication date: 28 May 2012

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.3324

zbMATH Keywords

asymptotic theorynonparametric estimationnull recurrent time series

Mathematics Subject Classification ID

Related Items (13)

Local composite quantile regression smoothing for Harris recurrent Markov processes ⋮ UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES ⋮ Adaptive estimation for varying coefficient models with nonstationary covariates ⋮ Specification testing for nonlinear multivariate cointegrating regressions ⋮ On sufficient conditions for the consistency of local linear kernel estimators ⋮ Towards Insensitivity of Nadaraya--Watson Estimators to Design Correlation ⋮ Semiparametric estimation in triangular system equations with nonstationarity ⋮ Robust nonlinear regression estimation in null recurrent time series ⋮ Varying coefficient partially nonlinear models with nonstationary regressors ⋮ Estimation in threshold autoregressive models with a stationary and a unit root regime ⋮ UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION ⋮ Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression ⋮ Estimation of semi-varying coefficient models with nonstationary regressors

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