Consistent estimator of nonparametric structural spurious regression model for high frequency data

DOI10.1016/J.ECONLET.2017.10.007zbMATH Open1401.62059OpenAlexW2767727655MaRDI QIDQ1787219FDOQ1787219

Authors: Minsoo Jeong 

Publication date: 5 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.10.007

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zbMATH Keywords

asymptotic normalityconsistencynonparametric regressionhigh frequency datanonstationary error termstructural spurious regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Cites Work

• Title not available (Why is that?)
• Testing for jumps in the presence of smooth changes in trends of nonstationary time series
• Robust estimation for structural spurious regressions and a Hausman-type cointegration test
• Asymptotics for recurrent diffusions with application to high frequency regression
• Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
• Non-parametric estimation of the average growth curve with a general non-stationary error process
• Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term
• On the asymptotic \(t\)-test for large nonstationary panel models

Cited In (1)

• Adaptive estimation of continuous-time regression models using high-frequency data

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