Sieve inference on possibly misspecified semi-nonparametric time series models

DOI10.1016/j.jeconom.2013.10.002zbMath1293.62182OpenAlexW1983826572MaRDI QIDQ2512629

Yixiao Sun, Zhipeng Liao, Xiaohong Chen

Publication date: 7 August 2014

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.10.002

zbMATH Keywords

\(F\) distributionirregular functionalsieve \(M\) estimationorthonormal series long run variance estimationpre-asymptotic variancesieve Riesz representer

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (18)

NONPARAMETRIC TWO-STEP SIEVE M ESTIMATION AND INFERENCE ⋮ Robust sieve M-estimation with an application to dimensionality reduction ⋮ Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models ⋮ Misspecified semiparametric model selection with weakly dependent observations ⋮ A structural analysis of simple contracts ⋮ Semiparametric estimation of long-term treatment effects ⋮ Semi-nonparametric estimation of random coefficients logit model for aggregate demand ⋮ A simple nonparametric conditional quantile estimator for time series with thin tails ⋮ Sieve \(M\) inference on irregular parameters ⋮ Uniform nonparametric inference for time series ⋮ Sieve semiparametric two-step GMM under weak dependence ⋮ Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework ⋮ A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data ⋮ NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY ⋮ Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions ⋮ Regression discontinuity and heteroskedasticity robust standard errors: evidence from a fixed-bandwidth approximation ⋮ INFERENCE IN NONPARAMETRIC SERIES ESTIMATION WITH SPECIFICATION SEARCHES FOR THE NUMBER OF SERIES TERMS ⋮ NONLINEAR PANEL DATA MODELS WITH DISTRIBUTION-FREE CORRELATED RANDOM EFFECTS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Asymptotic theory for stationary processes
• Robust trend inference with series variance estimator and testing-optimal smoothing parameter
• Efficient estimation of copula-based semiparametric Markov models
• Convergence rate of sieve estimates
• On methods of sieves and penalization
• Nonlinear time series. Nonparametric and parametric methods
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• Nonlinear Time Series
• BOOTSTRAPPING THE LONG RUN
• Local Polynomial Estimation of Regression Functions for Mixing Processes
• Sieve Extremum Estimates for Weakly Dependent Data
• LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE
• A heteroskedasticity and autocorrelation robustFtest using an orthonormal series variance estimator
• HAC ESTIMATION BY AUTOMATED REGRESSION

This page was built for publication: Sieve inference on possibly misspecified semi-nonparametric time series models