Nonparametric Estimation and Testing in Panels of Intercorrelated Time Series

DOI10.1111/J.1467-9892.2004.00382.XMaRDI QIDQ4677045zbMATH OpenOpenAlexFDO

Authors Vidar Hjellvik, Rong Chen, Dag Tjøstheim

Publication date 20 May 2005

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2004.00382.x

zbMATH Keywords

heteroscedasticintercorrelated time serieslinearity testingnonlinearpanel

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Parameter estimation in panels of intercorrelated time series.
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• Saddlepoint approximation methods for testing of serial correlation in panel time series data
• Nonlinear error correction based cointegration test in panel data
• On nonparametric and semiparametric testing for multivariate linear time series

Cites work

• Applied functional data analysis. Methods and case studies
• Forecasting Using Principal Components From a Large Number of Predictors
• Functional data analysis
• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 3984433 (Why is no real title available?)
• scientific article; zbMATH DE number 1168350 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• scientific article; zbMATH DE number 805005 (Why is no real title available?)
• Linearity testing using local polynomial approximation
• Local Polynomial Estimation of Regression Functions for Mixing Processes
• Markov chains and stochastic stability
• Nonlinear time series. Nonparametric and parametric methods
• Nonparametric statistics for testing of linearity and serial independence
• Panel Data Econometrics
• Stability of nonlinear AR(1) time series with delay

Cited in

(10)

• Estimation of a rank-reduced functional-coefficient panel data model with serial correlation
• Statistical inference for single-index panel data models
• NONPARAMETRIC ADDITIVE MODELS FOR PANELS OF TIME SERIES
• Non-parametric time-varying coefficient panel data models with fixed effects
• Modelling panels of intercorrelated autoregressive time series
• Inference and testing breaks in large dynamic panels with strong cross sectional dependence
• Estimation in single-index panel data models with heterogeneous link functions
• Block empirical likelihood for partially linear panel data models with fixed effects
• Parameter estimation in panels of intercorrelated time series.
• The empirical saddlepoint method applied to testing for serial correlation in panel time series data

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Uses Software

• fda (R)

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