Model checks for nonlinear cointegrating regression
From MaRDI portal
Recommendations
Cites work
- A Test of the Martingale Hypothesis
- A specification test for nonlinear nonstationary models
- A uniform law for convergence to the local times of linear fractional stable motions
- ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
- ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
- An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative
- Asymptotic comparison of Cramér-von Mises and nonparametric function estimation techniques for testing goodness-of-fit
- Asymptotic theory for zero energy functionals with nonparametric regression applications
- Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
- Consistent autoregressive spectral estimates
- Dependent central limit theorems and invariance principles
- Exact local Whittle estimation of fractional integration
- Gaussian pseudo-maximum likelihood estimation of fractional time series models
- Generalized spectral tests for the martingale difference hypothesis
- Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models
- How to estimate autoregressive roots near unity
- Limit theorems for nonlinear cointegrating regression
- Model checks using residual marked empirical processes
- Nonlinear Regressions with Integrated Time Series
- Nonlinear cointegrating regression under weak identification
- Nonlinear econometric models with cointegrated and deterministically trending regressors
- Nonlinear regressions with nonstationary time series
- Nonparametric model checks for regression
- Nonparametric predictive regression
- Nonparametric transformation regression with nonstationary data
- Score based goodness-of-fit tests for time series
- Semiparametric estimation in triangular system equations with nonstationarity
- Specification testing in nonlinear and nonstationary time series autoregression
- Spectral tests of the martingale hypothesis under conditional heteroscedasticity
- Structural nonparametric cointegrating regression
- The Bierens test for certain nonstationary models
- Uniform convergence for nonparametric estimators with nonstationary data
- Uniform convergence rates over maximal domains in structural nonparametric cointegrating regression
- Weak convergence of non-stationary multivariate marked processes with applications to martingale testing
- Weak convergence to stochastic integrals for econometric applications
Cited in
(10)- On a measure of lack of fit in nonlinear cointegrating regression with endogeneity
- scientific article; zbMATH DE number 6441661 (Why is no real title available?)
- Robust nonlinear regression estimation in null recurrent time series
- Specification testing driven by orthogonal series for nonlinear cointegration with endogeneity
- Assessing DSGE model nonlinearities
- Spurious functional-coefficient regression models and robust inference with marginal integration
- Specification testing for nonlinear multivariate cointegrating regressions
- Nonparametric inference for quantile cointegrations with stationary covariates
- Estimation for double-nonlinear cointegration
- Multidimensional specification test based on non-stationary time series
This page was built for publication: Model checks for nonlinear cointegrating regression
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1739588)
