Functional-Coefficient Regression Models for Nonlinear Time Series
From MaRDI portal
Publication:4541319
DOI10.2307/2669476zbMath0996.62078OpenAlexW1511338483MaRDI QIDQ4541319
Qiwei Yao, Zong-Wu Cai, Jianqing Fan
Publication date: 30 July 2002
Full work available at URL: http://eprints.lse.ac.uk/6314/1/Functional-coefficient_regression_models_for_nonlinear_time_series%28LSERO%29.pdf
bootstrapalpha-mixingasymptotic normalityforecastingnonlinear time serieslocal linear regressionvarying-coefficient modelsgood-ness-of-fit test
Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02)
Related Items (only showing first 100 items - show all)
Examining deterrence of adult sex crimes: a semi-parametric intervention time-series approach ⋮ Functional coefficient instrumental variables models ⋮ Trending time-varying coefficient time series models with serially correlated errors ⋮ Statistical inference for time-inhomogeneous volatility models. ⋮ A frequency domain test for detecting nonstationary time series ⋮ Hypothesis testing of varying coefficients for regional quantiles ⋮ Fast inference for semi-varying coefficient models via local averaging ⋮ Nonparametric estimation of time varying correlation coefficient ⋮ Fiscal policy and asset markets: a semiparametric analysis ⋮ Functional-coefficient models for nonstationary time series data ⋮ Empirical likelihood for nonparametric parts in semiparametric varying-coefficient partially linear models ⋮ Convolutional autoregressive models for functional time series ⋮ Estimation of semivarying coefficient time series models with ARMA errors ⋮ Polynomial spline estimation for partial functional linear regression models ⋮ Parameter estimation for a generalized semiparametric model with repeated measurements ⋮ A perspective on recent methods on testing predictability of asset returns ⋮ Spurious functional-coefficient regression models and robust inference with marginal integration ⋮ Efficient estimation and computation for the generalised additive models with unknown link function ⋮ Varying coefficient partially functional linear regression models ⋮ Time-varying quantile single-index model for multivariate responses ⋮ Quantile regression methods with varying-coefficient models for censored data ⋮ A loss function approach to model specification testing and its relative efficiency ⋮ Averaged estimation of functional-coefficient regression models with different smoothing varia\-bles ⋮ Variable selection for high-dimensional varying coefficient partially linear models via nonconcave penalty ⋮ Partially linear varying coefficient models with missing at random responses ⋮ Statistical inference in partially-varying-coefficient single-index model ⋮ Generalized profile LSE in varying-coefficient partially linear models with measurement errors ⋮ Bayesian multi-regime smooth transition regression with ordered categorical variables ⋮ Estimation and inference for varying coefficient partially nonlinear models ⋮ Inference on coefficient function for varying-coefficient partially linear model ⋮ Functional index coefficient models with variable selection ⋮ An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models ⋮ Profile empirical-likelihood inferences for the single-index-coefficient regression model ⋮ Projection-type estimation for varying coefficient regression models ⋮ Sieve instrumental variable quantile regression estimation of functional coefficient models ⋮ Bayesian analysis of the functional-coefficient autoregressive heteroscedastic model ⋮ A test for a parametric form of the volatility in second-order diffusion models ⋮ Modeling gap times between recurrent events by marginal rate function ⋮ Empirical likelihood for single-index varying-coefficient models ⋮ Functional-bandwidth kernel for support vector machine with functional data: an alternating optimization algorithm ⋮ Investigating asymptotic properties of vector nonlinear time series models ⋮ Nonparametric estimation equations for time series data. ⋮ Quantile regression in varying coefficient models. ⋮ A quantile varying-coefficient regression approach to length-biased data modeling ⋮ Semiparametric model building for regression models with time-varying parameters ⋮ Efficient estimation of varying coefficient models with serially correlated errors ⋮ Smooth coefficient estimation of a seemingly unrelated regression ⋮ Weighted local linear CQR for varying-coefficient models with missing covariates ⋮ Fitting piecewise linear threshold autoregressive models by means of genetic algorithms ⋮ Functional coefficient autoregressive models for vector time series ⋮ Functional coefficient regression models with time trend ⋮ A new approach to bootstrap inference in functional coefficient models ⋮ Statistical inference for panel data semiparametric partially linear regression models with heteroscedastic errors ⋮ Penalized spline estimation for functional coefficient regression models ⋮ Modeling epigenetic modifications under multiple treatment conditions ⋮ Nonparametric transfer function models ⋮ A model-free consistent test for structural change in regression possibly with endogeneity ⋮ Wavelet-M-estimation for time-varying coefficient time series models ⋮ Local polynomial fitting in semivarying coefficient model ⋮ Two-step likelihood estimation procedure for varying-coefficient models ⋮ Estimation on semivarying coefficient models with different degrees of smoothness ⋮ Semiparametric model for covariance regression analysis ⋮ Sieve empirical likelihood ratio tests for nonparametric functions ⋮ Nonparametric estimation of varying coefficient error-in-variable models with validation sampling ⋮ Varying coefficient functional autoregressive model with application to the U.S. treasuries ⋮ Efficient estimation of a semiparametric partially linear varying coefficient model ⋮ Testing constancy in varying coefficient models ⋮ Local partial-likelihood estimation for lifetime data ⋮ Quantile regression with varying coefficients ⋮ Flexible generalized varying coefficient regression models ⋮ Quantile index coefficient model with variable selection ⋮ Rank test for heteroscedastic functional data ⋮ Nonparametric estimation in generalized varying-coefficient models based on iterative weighted quasi-likelihood method ⋮ Two-step estimation of time-varying additive model for locally stationary time series ⋮ Measuring correlations of integrated but not cointegrated variables: a semiparametric approach ⋮ Semiparametric quantile regression estimation in dynamic models with partially varying coefficients ⋮ Proportional functional coefficient time series models ⋮ Functional coefficient seasonal time series models with an application of Hawaii tourism data ⋮ Time-varying auto-regressive models for count time-series ⋮ Efficient quantile estimation for functional-coefficient partially linear regression models ⋮ Nonlinear autoregressive sieve bootstrap based on extreme learning machines ⋮ Statistical inference for single-index-driven varying-coefficient time series model with explanatory variables ⋮ Varying coefficients partially linear models with randomly censored data ⋮ Efficient estimation of adaptive varying-coefficient partially linear regression model ⋮ Goodness-of-fit testing for varying-coefficient models ⋮ Statistical inference for a single-index varying-coefficient model ⋮ Proportional hazards model with varying coefficients for length-biased data ⋮ Quantile regression for dynamic partially linear varying coefficient time series models ⋮ Spline estimator for simultaneous variable selection and constant coefficient identification in high-dimensional generalized varying-coefficient models ⋮ An empirical study of a test for polynomial relationships in randomly right censored regression models ⋮ Penalized kernel quantile regression for varying coefficient models ⋮ Varying-coefficient single-index model ⋮ Model averaging prediction for nonparametric varying-coefficient models with B-spline smoothing ⋮ \(L_1\)-estimation for covariate-adjusted regression ⋮ Statistical estimation in varying coefficient models with surrogate data and validation sampling ⋮ Estimation of functional-coefficient autoregressive models with measurement error ⋮ Nonlinearity, data-snooping, and stock index ETF return predictability ⋮ Spatially varying coefficient models with sign preservation of the coefficient functions ⋮ Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence ⋮ Instrumental variables estimators of nonparametric models with discrete endogenous regressors
Uses Software
This page was built for publication: Functional-Coefficient Regression Models for Nonlinear Time Series
