Functional‐coefficient models under unit root behaviour

DOI10.1111/J.1368-423X.2005.00160.XMaRDI QIDQ5703226zbMATH OpenOpenAlexFDO

Authors Ted Juhl

Publication date 8 November 2005

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1368-423x.2005.00160.x

zbMATH Keywords

joint confidence intervals

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• Consistent model specification tests for time series econometric models
• Distribution theory for unit root tests with conditional heteroskedasticity
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• Mixing properties of ARMA processes
• Stochastic Limit Theory
• Threshold Autoregression with a Unit Root

Cited in

(22)

• An alternative bandwidth selection method for estimating functional coefficient models
• Nonlinear regression for unit root models with autoregressive errors
• Functional coefficient autoregressive conditional root model
• Model specification test with correlated but not cointegrated variables
• Functional-coefficient cointegration models
• When bias contributes to variance: true limit theory in functional coefficient cointegrating regression
• Trending time-varying coefficient time series models with serially correlated errors
• Functional coefficient moving average model with applications to forecasting Chinese CPI
• Semiparametric functional coefficient models with integrated covariates
• Functional-coefficient models for nonstationary time series data
• PARTIALLY LINEAR MODELS WITH UNIT ROOTS
• Estimation and inference for varying-coefficient models with nonstationary regressors using penalized splines
• NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS
• Volatility spillover effect: a semiparametric analysis of non-cointegrated process
• Functional-coefficient cointegration models in the presence of deterministic trends
• Bootstrap bandwidth selection in time-varying coefficient models with jumps
• LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION
• Inference in a stationary/nonstationary autoregressive time-varying-parameter model
• Limit theory and inference in non-cointegrated functional coefficient regression
• Kernel mode-based varying coefficient models with nonstationary regressors
• Measuring correlations of integrated but not cointegrated variables: a semiparametric approach
• Functional cointegration: definition and nonparametric estimation

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