Structural Nonparametric Cointegrating Regression
From MaRDI portal
Publication:3402306
DOI10.3982/ECTA7732zbMath1182.62088WikidataQ29397866 ScholiaQ29397866MaRDI QIDQ3402306
Qiying Wang, Peter C. B. Phillips
Publication date: 3 February 2010
Published in: Econometrica (Search for Journal in Brave)
Gaussian process; cointegration; unit root; nonlinear functional; Brownian local time; nonparametric regression; integrated process; kernel estimate; functional regression; structural estimation; near integration
62G08: Nonparametric regression and quantile regression
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
91B84: Economic time series analysis
Related Items
Non‐parametric regression under location shifts, NONPARAMETRIC COINTEGRATING REGRESSION WITH NNH ERRORS, NONPARAMETRIC NONSTATIONARITY TESTS, An Extended Martingale Limit Theorem with Application to Specification Test for Nonlinear Co-integrating Regression Model, UNIFORM CONVERGENCE RATES OVER MAXIMAL DOMAINS IN STRUCTURAL NONPARAMETRIC COINTEGRATING REGRESSION, Semiparametric methods in nonlinear time series analysis: a selective review, ADAPTIVE ESTIMATION OF FUNCTIONALS IN NONPARAMETRIC INSTRUMENTAL REGRESSION, UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION, Estimation for single-index and partially linear single-index integrated models, A uniform law for convergence to the local times of linear fractional stable motions, Functional-coefficient models for nonstationary time series data, Asymptotics for recurrent diffusions with application to high frequency regression, Estimating smooth structural change in cointegration models, Nonparametric LAD cointegrating regression, Estimation in semi-parametric regression with non-stationary regressors, Asymptotic theory for fractional regression models via Malliavin calculus, A specification test for nonlinear nonstationary models, Dynamic misspecification in nonparametric cointegrating regression, Estimation in threshold autoregressive models with a stationary and a unit root regime, Partial parametric estimation for nonstationary nonlinear regressions, Robust estimation in a nonlinear cointegration model, Functional cointegration: definition and nonparametric estimation, Asymptotic behavior for bi-fractional regression models via Malliavin calculus, Nonlinear regressions with nonstationary time series, Nonparametric predictive regression, Semiparametric single-index panel data models with cross-sectional dependence, Specification testing for nonlinear multivariate cointegrating regressions, Semiparametric estimation in triangular system equations with nonstationarity, Uniform convergence rates for a class of martingales with application in non-linear cointegrating regression, Summability of stochastic processes -- a generalization of integration for non-linear processes, Testing cointegration relationship in a semiparametric varying coefficient model, Model specification test with correlated but not cointegrated variables, Local composite quantile regression smoothing for Harris recurrent Markov processes, NONPARAMETRIC TRANSFORMATION REGRESSION WITH NONSTATIONARY DATA, NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY, A CONSISTENT NONPARAMETRIC TEST ON SEMIPARAMETRIC SMOOTH COEFFICIENT MODELS WITH INTEGRATED TIME SERIES, SEMIPARAMETRIC FUNCTIONAL COEFFICIENT MODELS WITH INTEGRATED COVARIATES, NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS’S CONTRIBUTIONS WITH A NEW PERSPECTIVE, Kernel Density Estimation and Local Time, UNIFORM CONVERGENCE FOR NONPARAMETRIC ESTIMATORS WITH NONSTATIONARY DATA, A similarity-based approach to time-varying coefficient non-stationary autoregression, WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS, LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES, ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS, MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION, ESTIMATION AND INFERENCE FOR VARYING-COEFFICIENT MODELS WITH NONSTATIONARY REGRESSORS USING PENALIZED SPLINES, ROBUST ESTIMATION AND INFERENCE FOR THRESHOLD MODELS WITH INTEGRATED REGRESSORS, UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES
