Functional cointegration: definition and nonparametric estimation

DOI10.1515/SNDE-2013-0083MaRDI QIDQ905392zbMATH OpenOpenAlexFDO

Authors Jean-Yves Pitarakis, Anurag N. Banerjee

Publication date 19 January 2016

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL http://dro.dur.ac.uk/22739/1/22739.pdf

zbMATH Keywords

unit rootscointegrationfunctional coefficientspiecewise local linear estimation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 472973 (Why is no real title available?)
• A method of estimating the average derivative
• Covariate-adjusted regression
• Dynamic misspecification in nonparametric cointegrating regression
• Functional-Coefficient Autoregressive Models
• Functional-coefficient cointegration models
• Functional-coefficient models for nonstationary time series data
• Functional‐coefficient models under unit root behaviour
• Inference for covariate adjusted regression via varying coefficient models
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Nonlinear time series. Nonparametric and parametric methods
• Nonparametric estimation in a nonlinear cointegration type model
• Statistical estimation in varying coefficient models
• Structural nonparametric cointegrating regression
• Summability of stochastic processes -- a generalization of integration for non-linear processes
• Testing linearity in cointegrating smooth transition regressions
• Time Series Regression with a Unit Root
• UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA

Cited in

(4)

• DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
• Functional-coefficient cointegration models
• Empirical likelihood for semivarying coefficient model with measurement error in the nonparametric part
• Functional-coefficient cointegration models in the presence of deterministic trends

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