Nonlinear Time Series
From MaRDI portal
Publication:3427681
DOI10.1201/9781420011210zbMath1179.62118OpenAlexW4235149167MaRDI QIDQ3427681
Publication date: 23 March 2007
Full work available at URL: https://doi.org/10.1201/9781420011210
Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Diffusion processes (60J60)
Related Items (82)
A robust test for serial correlation in panel data models ⋮ A nonparametric measure of heteroskedasticity ⋮ SPECIFICATION TESTING IN NONLINEAR TIME SERIES WITH LONG-RANGE DEPENDENCE ⋮ Econometric modelling in finance and risk management: an overview ⋮ Specification testing in discretized diffusion models: theory and practice ⋮ Testing for multivariate volatility functions using minimum volume sets and inverse regression ⋮ Robust estimation in a nonlinear cointegration model ⋮ Identification for partially linear regression model with autoregressive errors ⋮ A varying-coefficient panel data model with fixed effects: theory and an application to US commercial banks ⋮ Specification testing for nonlinear multivariate cointegrating regressions ⋮ Variable selection in partially time-varying coefficient models ⋮ Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions ⋮ SPECIFICATION TESTING DRIVEN BY ORTHOGONAL SERIES FOR NONLINEAR COINTEGRATION WITH ENDOGENEITY ⋮ An updated review of goodness-of-fit tests for regression models ⋮ Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models ⋮ Testing for the presence of jump components in jump diffusion models ⋮ Two-step variable selection in partially linear additive models with time series data ⋮ Bayesian multi-regime smooth transition regression with ordered categorical variables ⋮ Nonparametric LAD cointegrating regression ⋮ A misspecification test for multiplicative error models of non-negative time series processes ⋮ Forecasting in nonlinear univariate time series using penalized splines ⋮ A copula approach for dependence modeling in multivariate nonparametric time series ⋮ Variable selection in heterogeneous panel data models with cross‐sectional dependence ⋮ Semiparametric time series regression modeling with a diverging number of parameters ⋮ Specification tests for time-varying coefficient models ⋮ Spline estimation of partially linear regression models for time series with correlated errors ⋮ Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models ⋮ Reconstructing the hidden states in time course data of stochastic models ⋮ NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY ⋮ Generalized F-test for high dimensional regression coefficients of partially linear models ⋮ Nonparametric estimation of a scalar diffusion model from discrete time data: a survey ⋮ Semi-parametric single-index predictive regression models with cointegrated regressors ⋮ A hidden Markov regime-switching smooth transition model ⋮ Series estimation for single‐index models under constraints ⋮ Change-point analysis in increasing dimension ⋮ Semiparametric estimation in triangular system equations with nonstationarity ⋮ A Darling-Erdős type result for stationary ellipsoids ⋮ Testing conditional independence via empirical likelihood ⋮ A novel partial-linear single-index model for time series data ⋮ Specification testing in nonparametric AR‐ARCH models ⋮ Non‐parametric smoothing and prediction for nonlinear circular time series ⋮ Recursive estimation in large panel data models: theory and practice ⋮ REWEIGHTED FUNCTIONAL ESTIMATION OF DIFFUSION MODELS ⋮ Varying coefficient partially nonlinear models with nonstationary regressors ⋮ Non‐parametric time‐varying coefficient panel data models with fixed effects ⋮ Semiparametric trending panel data models with cross-sectional dependence ⋮ Estimation in threshold autoregressive models with a stationary and a unit root regime ⋮ Semiparametric methods in nonlinear time series analysis: a selective review ⋮ SIGNIFICANT VARIABLE SELECTION AND AUTOREGRESSIVE ORDER DETERMINATION FOR TIME‐SERIES PARTIALLY LINEAR MODELS ⋮ Parametric and nonparametric models and methods in financial econometrics ⋮ On a partly linear autoregressive model with moving average errors ⋮ Some developments in semiparametric statistics ⋮ Empirical likelihood based inference for a categorical varying-coefficient panel data model with fixed effects ⋮ A note on the invertibility of nonlinear ARMA models ⋮ Filtering out high frequencies in time series using F-transform ⋮ SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION ⋮ Additive nonparametric models with time variable and both stationary and nonstationary regressors ⋮ Unnamed Item ⋮ Sieve inference on possibly misspecified semi-nonparametric time series models ⋮ Semiparametric GEE analysis in partially linear single-index models for longitudinal data ⋮ Panel nonparametric regression with fixed effects ⋮ Statistical inference for partially linear stochastic models with heteroscedastic errors ⋮ Semiparametric quantile regression estimation in dynamic models with partially varying coefficients ⋮ INFERENCE ON A SEMIPARAMETRIC MODEL WITH GLOBAL POWER LAW AND LOCAL NONPARAMETRIC TRENDS ⋮ The central limit theorem for degenerate variableU-statistics under dependence ⋮ LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION ⋮ NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY ⋮ Specification testing in nonlinear and nonstationary time series autoregression ⋮ Efficient estimation of copula-based semiparametric Markov models ⋮ Empirical likelihood confidence regions for autoregressive models with explanatory variables ⋮ Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression ⋮ Estimation in a semiparametric panel data model with nonstationarity ⋮ Nonparametric localized bandwidth selection for Kernel density estimation ⋮ Functional coefficient time series models with trending regressors ⋮ Smooth coefficient models with endogenous environmental variables ⋮ On endogeneity and shape invariance in extended partially linear single index models ⋮ Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing ⋮ Semiparametric Autoregressive Conditional Duration Model: Theory and Practice ⋮ SCAD-penalized regression for varying-coefficient models with autoregressive errors ⋮ Semiparametric estimation of moment condition models with weakly dependent data ⋮ Unstable volatility: the break-preserving local linear estimator ⋮ Semiparametric single-index panel data models with cross-sectional dependence
This page was built for publication: Nonlinear Time Series
