Kernel-based inference in time-varying coefficient cointegrating regression

DOI10.1016/J.JECONOM.2019.10.005MaRDI QIDQ2182148zbMATH OpenOpenAlexFDO

Authors Degui Li, Peter C. B. Phillips, Jiti Gao

Publication date 21 May 2020

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

Full work available at URL http://cowles.yale.edu/sites/default/files/files/pub/d30/d3009-a.pdf

zbMATH Keywords

cointegrationkernel degeneracysuper-consistencytime-varying coefficientsglobal rotationlocal rotationgeneralized Wald testFM-kernel estimation

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Estimating smooth structural change in cointegration models
• COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
• Functional-coefficient cointegration models
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• 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 4100451 (Why is no real title available?)
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• Asymptotics for linear processes
• COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Econometric Model Determination
• Estimating smooth structural change in cointegration models
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Estimation of semi-varying coefficient models with nonstationary regressors
• Fully Modified Least Squares and Vector Autoregression
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• Functional-coefficient models for nonstationary time series data
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• New introduction to multiple time series analysis.
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• Nonparametric regression for locally stationary time series
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• Regression with slowly varying regressors and nonlinear trends
• Semiparametric cointegrating rank selection
• Semiparametric estimation in triangular system equations with nonstationarity
• Simultaneous Inference of Linear Models with Time Varying Coefficients
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Structural nonparametric cointegrating regression
• Testing for a unit root in time series regression
• Testing for smooth structural changes in time series models via nonparametric regression
• Testing linearity using power transforms of regressors
• Trending time-varying coefficient time series models with serially correlated errors
• Vector Autoregressions and Causality

Cited in

(5)

• Inference on stochastic time-varying coefficient models
• Sieve bootstrap inference for linear time-varying coefficient models
• Estimating smooth structural change in cointegration models
• A kernel regression model for panel count data with time-varying coefficients
• Time-varying cointegration and the Kalman filter

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