Nonparametric cointegrating regression with NNH errors

DOI10.1017/S0266466612000205MaRDI QIDQ4917228zbMATH OpenFDO

Authors Qiying Wang, Y. X. Rachel Wang

Publication date 29 April 2013

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466612000205

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

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Cites work

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• Asymptotic theory for zero energy functionals with nonparametric regression applications
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• Regression with Nonstationary Volatility
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• Testing linearity in cointegrating smooth transition regressions
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Cited in

(13)

• Uniform convergence rates for a class of martingales with application in non-linear cointegrating regression
• Local composite quantile regression smoothing for Harris recurrent Markov processes
• Nonstationary nonlinear heteroskedasticity in regression
• Factor and Idiosyncratic Empirical Processes
• An extended martingale limit theorem with application to specification test for nonlinear co-integrating regression model
• Uniform convergence rates over maximal domains in structural nonparametric cointegrating regression
• Uniform consistency of nonstationary kernel-weighted sample covariances for nonparametric regression
• LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION
• Testing for a unit root with nonstationary nonlinear heteroskedasticity
• Some notes on nonlinear cointegration: a partial review with some novel perspectives
• Uniform and L_p convergences for nonparametric continuous time regressions with semiparametric applications
• Uniform convergence for nonparametric estimators with nonstationary data
• Nonlinear cointegrating regressions with nonstationary nonlinear heteroskedasticity

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