Additive nonparametric models with time variable and both stationary and nonstationary regressors
From MaRDI portal
Publication:1792488
DOI10.1016/j.jeconom.2018.05.007zbMath1452.62628OpenAlexW4240116130WikidataQ129368277 ScholiaQ129368277MaRDI QIDQ1792488
Chaohua Dong, Oliver B. Linton
Publication date: 12 October 2018
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.05.007
pairs tradingunit root processdeterministic trendseries estimatoradditive nonparametric modelsstationary and locally stationary processes
Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)
Related Items
Optimal lamination test of ethylene vinyl acetate sheets for solar modules, Spurious functional-coefficient regression models and robust inference with marginal integration, Nonparametric inference for quantile cointegrations with stationary covariates, An integrated panel data approach to modelling economic growth, High dimensional semiparametric moment restriction models, Functional coefficient cointegration models with Box-Cox transformation, A weighted sieve estimator for nonparametric time series models with nonstationary variables, INFERENCE ON A SEMIPARAMETRIC MODEL WITH GLOBAL POWER LAW AND LOCAL NONPARAMETRIC TRENDS, Estimation for double-nonlinear cointegration, Semi-parametric single-index panel data models with interactive fixed effects: theory and practice, LEAST SQUARES ESTIMATION FOR NONLINEAR REGRESSION MODELS WITH HETEROSCEDASTICITY
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The existence and asymptotic properties of a backfitting projection algorithm under weak conditions
- Functional-coefficient models for nonstationary time series data
- Estimating smooth structural change in cointegration models
- Some new asymptotic theory for least squares series: pointwise and uniform results
- Sieve estimation of panel data models with cross section dependence
- Estimation of semiparametric locally stationary diffusion models
- Nonparametric regression for locally stationary time series
- Nonparametric estimation in a nonlinear cointegration type model
- Additive regression and other nonparametric models
- Asymptotics for linear processes
- Convergence rates and asymptotic normality for series estimators
- Optimal global rates of convergence for nonparametric regression
- Semiparametric single-index panel data models with cross-sectional dependence
- Local linear regression smoothers and their minimax efficiencies
- Semiparametric estimation in triangular system equations with nonstationarity
- Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
- Functional-coefficient cointegration models
- Nonlinearity and temporal dependence
- Nonlinear econometric models with cointegrated and deterministically trending regressors
- NONPARAMETRIC TRANSFORMATION REGRESSION WITH NONSTATIONARY DATA
- REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS
- ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
- Nonlinear Time Series
- Limit Theorems for Nonlinear Cointegrating Regression
- Miscellanea. Efficient estimation of additive nonparametric regression models
- ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
- COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
- Sieve Extremum Estimates for Weakly Dependent Data
- Nonlinear Regressions with Integrated Time Series
- Real Analysis and Probability
- Oracally Efficient Two-Step Estimation of Generalized Additive Model
- HAC ESTIMATION BY AUTOMATED REGRESSION
- UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION
- Estimation for single-index and partially linear single-index integrated models