Functional coefficient regression models with time trend

DOI10.1016/J.JECONOM.2011.08.009MaRDI QIDQ528015zbMATHOpenAlexFDO

Authors Zhongwen Liang, Qi Li

Publication date 12 May 2017

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://www.sciencedirect.com/science/article/pii/S0304407612000784

zbMATH Keywords

specification testspartially linear modelvarying coefficient modeltime trend

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• A central limit theorem for generalized quadratic forms
• Asymptotic behavior of bandwidth selected by the cross-validation method for local polynomial fitting
• Bandwidth selection in nonparametric kernel testing
• Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
• Functional-Coefficient Regression Models for Nonlinear Time Series
• Functional-coefficient cointegration models
• Functional-coefficient models for nonstationary time series data
• Local polynomial fitting in semivarying coefficient model
• Nonlinear Econometric Models with Deterministically Trending Variables
• Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters
• Root-N-Consistent Semiparametric Regression
• Simultaneous confidence bands and hypothesis testing in varying-coefficient models
• Stochastic Processes with Applications
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Trending time-varying coefficient time series models with serially correlated errors

Cited in

(14)

• Proportional functional coefficient time series models
• Functional-Coefficient Regression Models for Nonlinear Time Series
• Multivariate trend function testing with mixed stationary and integrated disturbances
• Inference of time-varying regression models
• Time-varying coefficient models: A comparison of alternative estimation strategies
• Fitting polynomial trend to time series by the method of Buys-Ballot estimators
• Trending time-varying coefficient time series models with serially correlated errors
• Bootstrap bandwidth selection in time-varying coefficient models with jumps
• Varying-coefficient model and applications for the periodic time series
• Functional coefficient time series models with trending regressors
• Estimation of varying coefficient models with time trend and integrated regressors
• Specification of varying coefficient time series models via generalized flexible least squares
• Inference on power law spatial trends
• Functional-coefficient cointegration models in the presence of deterministic trends

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