Testing cointegration relationship in a semiparametric varying coefficient model
From MaRDI portal
Publication:2512598
DOI10.1016/j.jeconom.2013.08.006zbMath1293.62099MaRDI QIDQ2512598
Publication date: 7 August 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.08.006
62P20: Applications of statistics to economics
62G10: Nonparametric hypothesis testing
62G20: Asymptotic properties of nonparametric inference
62G09: Nonparametric statistical resampling methods
91B82: Statistical methods; economic indices and measures
Related Items
Adaptive estimation for varying coefficient models with nonstationary covariates, Local Linear Estimation of a Nonparametric Cointegration Model, Estimation of semi-varying coefficient models with nonstationary regressors, Bootstrap bandwidth selection in time-varying coefficient models with jumps, Varying coefficient partially nonlinear models with nonstationary regressors, Semiparametric quantile estimation for varying coefficient partially linear measurement errors models, The varying spillover of U.S. systemic risk: a functional-coefficient cointegration approach
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