Local Linear Estimation of a Nonparametric Cointegration Model

DOI10.1080/07474938.2014.956610MaRDI QIDQ5863566zbMATH OpenOpenAlexFDO

Authors Zhongwen Liang, Zhongjian Lin, Cheng Hsiao

Publication date 3 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2014.956610

zbMATH Keywords

bandwidth selectioncross validationnonlinear cointegrationlocal linear

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)

Recommendations

• Nonparametric estimation in a nonlinear cointegration type model
• Nonlinear estimation using estimated cointegrating relations
• ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
• Nonparametric LAD cointegrating regression
• Nonparametric cointegration analysis
• Nonparametric testing for linearity in cointegrated error-correction models
• Semi-parametric estimation of linear cointegrating models with nonlinear contemporaneous endogeneity
• Likelihood-based inference for cointegration with nonlinear error-correction

Cites work

• scientific article; zbMATH DE number 991833 (Why is no real title available?)
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• A specification test for nonlinear nonstationary models
• ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Asymptotics for linear processes
• Functional-coefficient cointegration models
• Functional-coefficient models for nonstationary time series data
• Multiple Time Series Regression with Integrated Processes
• Nonlinear Regressions with Integrated Time Series
• Nonparametric estimation in a nonlinear cointegration type model
• Nonparametric model check based on local polynomial fitting
• Nonparametric specification testing for nonlinear time series with nonstationarity
• Semiparametric functional coefficient models with integrated covariates
• Structural nonparametric cointegrating regression
• Testing cointegration relationship in a semiparametric varying coefficient model
• Weak limit theorems for stochastic integrals and stochastic differential equations

Cited in

(8)

• Nonparametric LAD cointegrating regression
• Adaptive estimation for varying coefficient models with nonstationary covariates
• The Special Issue in Honor of Aman Ullah: An Overview
• Robust estimation in a nonlinear cointegration model
• ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
• Local linear regression with nonparametrically generated covariates for weakly dependent data
• Kernel mode-based varying coefficient models with nonstationary regressors
• Varying coefficient partially nonlinear models with nonstationary regressors

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