Kernel-based inference in time-varying coefficient cointegrating regression

DOI10.1016/j.jeconom.2019.10.005zbMath1456.62203OpenAlexW2751213565MaRDI QIDQ2182148

Degui Li, Peter C. B. Phillips, J. T. Gao

Publication date: 21 May 2020

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://cowles.yale.edu/sites/default/files/files/pub/d30/d3009-a.pdf

zbMATH Keywords

cointegrationtime-varying coefficientskernel degeneracysuper-consistencyglobal rotationlocal rotationgeneralized Wald testFM-kernel estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (1)

Sieve bootstrap inference for linear time-varying coefficient models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Trending time-varying coefficient time series models with serially correlated errors
• Functional-coefficient models for nonstationary time series data
• Estimating smooth structural change in cointegration models
• Testing linearity using power transforms of regressors
• Inference of time-varying regression models
• Nonparametric regression for locally stationary time series
• Nonparametric estimation in a nonlinear cointegration type model
• Asymptotics for linear processes
• Semiparametric estimation in triangular system equations with nonstationarity
• Inference on stochastic time-varying coefficient models
• Functional-coefficient cointegration models
• Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression
• REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS
• ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
• Optimal Inference in Cointegrated Systems
• Asymptotic Properties of Residual Based Tests for Cointegration
• Structural Nonparametric Cointegrating Regression
• Semiparametric cointegrating rank selection
• Multiple Time Series Regression with Integrated Processes
• Testing for a unit root in time series regression
• Vector Autoregressions and Causality
• COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
• Nonlinear Regressions with Integrated Time Series
• Simultaneous Inference of Linear Models with Time Varying Coefficients
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Fully Modified Least Squares and Vector Autoregression
• Econometric Model Determination
• Estimation of semi-varying coefficient models with nonstationary regressors
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

This page was built for publication: Kernel-based inference in time-varying coefficient cointegrating regression