Estimating smooth structural change in cointegration models
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- Kernel-based inference in time-varying coefficient cointegrating regression
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- Functional-coefficient cointegration models
- COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
- Nonlinear econometric models with cointegrated and deterministically trending regressors
Cites work
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 847282 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
- ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
- Asymptotics for linear processes
- COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
- Dynamic misspecification in nonparametric cointegrating regression
- Estimation of semi-varying coefficient models with nonstationary regressors
- Fully Modified Least Squares and Vector Autoregression
- Functional-coefficient cointegration models
- Functional-coefficient models for nonstationary time series data
- INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
- Inference of time-varying regression models
- LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS
- Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
- Multiple Time Series Regression with Integrated Processes
- Nonlinear Regressions with Integrated Time Series
- Nonlinearity induced weak instrumentation
- Nonparametric cointegrating regression with endogeneity and long memory
- Nonparametric estimation in a nonlinear cointegration type model
- Optimal Inference in Cointegrated Systems
- PARTIALLY LINEAR MODELS WITH UNIT ROOTS
- Regression Theory for Near-Integrated Time Series
- Semiparametric estimation in triangular system equations with nonstationarity
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Statistical analysis of cointegration vectors
- Statistical inference in partially time-varying coefficient models
- Structural nonparametric cointegrating regression
- Testing for smooth structural changes in time series models via nonparametric regression
- Testing linearity in cointegrating relations with an application to purchasing power parity
- Trending time-varying coefficient time series models with serially correlated errors
- Uniform consistency of nonstationary kernel-weighted sample covariances for nonparametric regression
Cited in
(23)- The varying spillover of U.S. systemic risk: a functional-coefficient cointegration approach
- Boosting high dimensional predictive regressions with time varying parameters
- Inference on stochastic time-varying coefficient models
- Time-varying cointegration with an application to the UK Great Ratios
- Time-varying predictability of the long horizon equity premium based on semiparametric regressions
- Kernel-based inference in time-varying coefficient cointegrating regression
- COINTEGRATING SMOOTH TRANSITION REGRESSIONS
- Estimation for single-index and partially linear single-index integrated models
- Spurious functional-coefficient regression models and robust inference with marginal integration
- A weighted sieve estimator for nonparametric time series models with nonstationary variables
- Efficient estimation and inference in cointegrating regressions with structural change
- Data-driven local polynomial for the trend and its derivatives in economic time series
- Nonparametric inference for quantile cointegrations with stationary covariates
- Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates
- Inference on a semiparametric model with global power law and local nonparametric trends
- LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION
- Estimation for double-nonlinear cointegration
- Structural nonparametric cointegrating regression
- Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments
- Additive nonparametric models with time variable and both stationary and nonstationary regressors
- Time-varying multivariate causal processes
- A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR
- Sieve bootstrap inference for linear time-varying coefficient models
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