Index models with integrated time series
From MaRDI portal
Publication:1870096
DOI10.1016/S0304-4076(02)00220-8zbMath1023.62086OpenAlexW2077962893MaRDI QIDQ1870096
Publication date: 4 May 2003
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(02)00220-8
Brownian motionBrownian local timeregressionneural network modelintegrated time seriesindex modelsmooth transition
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Neural nets and related approaches to inference from stochastic processes (62M45)
Related Items (17)
Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico ⋮ Nonstationary nonlinear heteroskedasticity in regression ⋮ Nonlinearity, nonstationarity, and spurious forecasts ⋮ Nonparametric inference for quantile cointegrations with stationary covariates ⋮ Semi-parametric single-index predictive regression models with cointegrated regressors ⋮ On transformed linear cointegration models ⋮ TESTS FOR NONLINEAR COINTEGRATION ⋮ Estimation for single-index and partially linear single-index integrated models ⋮ Likelihood-based inference for cointegration with nonlinear error-correction ⋮ Endogeneity in Nonlinear Regressions with Integrated Time Series ⋮ Estimation for double-nonlinear cointegration ⋮ A STUDY OF A SEMIPARAMETRIC BINARY CHOICE MODEL WITH INTEGRATED COVARIATES ⋮ Nonstationary nonlinear quantile regression ⋮ Nonlinear regressions with nonstationary time series ⋮ NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY ⋮ LEAST SQUARES ESTIMATION FOR NONLINEAR REGRESSION MODELS WITH HETEROSCEDASTICITY ⋮ NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS’S CONTRIBUTIONS WITH A NEW PERSPECTIVE
Cites Work
- Unnamed Item
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Asymptotic theory of nonlinear least squares estimation
- Asymptotics for linear processes
- Nonlinear econometric models with cointegrated and deterministically trending regressors
- Optimal Inference in Cointegrated Systems
- Canonical Cointegrating Regressions
- ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
- Nonstationary Binary Choice
- Nonlinear Regressions with Integrated Time Series
- Nonlinear Econometric Models with Deterministically Trending Variables
- Asymptotic Properties of Non-Linear Least Squares Estimators
- Some Asymptotic Results for Learning in Single Hidden-Layer Feedforward Network Models
This page was built for publication: Index models with integrated time series