NONPARAMETRIC ADDITIVE MODELS FOR PANELS OF TIME SERIES

DOI10.1017/S0266466608090142zbMath1279.62189OpenAlexW2063470251MaRDI QIDQ3632431

Dag Tjøstheim, Enno Mammen, Bård Støve

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466608090142

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99)

Related Items (24)

Non-parametric regression with a latent time series ⋮ A Convolution Estimator for the Density of Nonlinear Regression Observations ⋮ Statistical Inference for Single-index Panel Data Models ⋮ Calendar effect and in-sample forecasting ⋮ Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions ⋮ NONPARAMETRIC ESTIMATION OF GENERALIZED TRANSFORMATION MODELS WITH FIXED EFFECTS ⋮ Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects ⋮ Nonparametric dynamic panel data models: kernel estimation and specification testing ⋮ Nonparametric estimation of fixed effects panel data varying coefficient models ⋮ Non‐parametric models in binary choice fixed effects panel data ⋮ Non‐parametric time‐varying coefficient panel data models with fixed effects ⋮ Estimation of a rank-reduced functional-coefficient panel data model with serial correlation ⋮ Nonparametric estimation of noisy integral equations of the second kind ⋮ Semi-parametric inference for semi-varying coefficient panel data model with individual effects ⋮ A consistent nonparametric test of parametric regression functional form in fixed effects panel data models ⋮ A semiparametric model for heterogeneous panel data with fixed effects ⋮ Testing error serial correlation in fixed effects nonparametric panel data models ⋮ Estimating semiparametric panel data models by marginal integration ⋮ Differencing techniques in semi-parametric panel data varying coefficient models with fixed effects: a Monte Carlo study ⋮ Variable selection for additive model via cumulative ratios of empirical strengths total ⋮ A penalized spline estimator for fixed effects panel data models ⋮ A nonparametric approach to identify age, time, and cohort effects ⋮ Asymptotics for nonparametric and semiparametric fixed effects panel models ⋮ Semiparametric inferences for panel data models with fixed effects via nearest neighbor difference transformation

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