Nonparametric cointegrating regression with endogeneity and long memory
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Cites work
- A specification test for nonlinear nonstationary models
- Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
- An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative
- ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
- Asymptotic theory for zero energy functionals with nonparametric regression applications
- Comparing nonparametric versus parametric regression fits
- Exact local Whittle estimation of fractional integration
- Functional-coefficient models for nonstationary time series data
- Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
- MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION
- Nonlinear Regressions with Integrated Time Series
- Nonparametric estimation in a nonlinear cointegration type model
- Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective
- Occupation densities
- Robust trend inference with series variance estimator and testing-optimal smoothing parameter
- Sieve inference on possibly misspecified semi-nonparametric time series models
- Specification testing in nonlinear and nonstationary time series autoregression
- Structural nonparametric cointegrating regression
- Uniform convergence for nonparametric estimators with nonstationary data
Cited in
(34)- Threshold regression with endogeneity
- A weighted sieve estimator for nonparametric time series models with nonstationary variables
- Spurious functional-coefficient regression models and robust inference with marginal integration
- Nonparametric inference for quantile cointegrations with stationary covariates
- Estimation for double-nonlinear cointegration
- Specification testing for nonlinear multivariate cointegrating regressions
- A uniform law for convergence to the local times of linear fractional stable motions
- Structural nonparametric cointegrating regression
- Estimating smooth structural change in cointegration models
- Polynomial Cointegration Between Stationary Processes With Long Memory
- Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory
- Specification testing driven by orthogonal series for nonlinear cointegration with endogeneity
- Weak convergence to stochastic integrals under primitive conditions in nonlinear econometric models
- Nonparametric identification using instrumental variables: sufficient conditions for completeness
- Nonparametric cointegrating regression with NNH errors
- Nonlinear cointegrating power function regression with endogeneity
- Least squares estimation for nonlinear regression models with heteroscedasticity
- Adaptive estimation for varying coefficient models with nonstationary covariates
- Semi-parametric estimation of linear cointegrating models with nonlinear contemporaneous endogeneity
- On a measure of lack of fit in nonlinear cointegrating regression with endogeneity
- Dynamic misspecification in nonparametric cointegrating regression
- Uniform convergence rates over maximal domains in structural nonparametric cointegrating regression
- LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION
- Endogeneity in semiparametric threshold regression models with two threshold variables
- Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates
- OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION
- Weighted nonlinear regression with nonstationary time series
- Varying coefficient partially nonlinear models with nonstationary regressors
- Cointegrating polynomial regressions with power law trends
- Nonlinear cointegrating regressions with nonstationary nonlinear heteroskedasticity
- Cointegration with occasionally binding constraints
- Properties of Test Statistics for Nonparametric Cointegrating Regression Functions Based on Subsamples
- A general limit theory for nonlinear functionals of nonstationary time series
- Kernel mode-based varying coefficient models with nonstationary regressors
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