Trending time-varying coefficient time series models with serially correlated errors

DOI10.1016/j.jeconom.2005.08.004zbMath1418.62306OpenAlexW1971846819MaRDI QIDQ278242

Zong-Wu Cai

Publication date: 2 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.08.004

zbMATH Keywords

nonlinearityheteroscedasticityboundary effectsstationaritynonstationaritylocal linear estimationmisspecification testNadaraya-Watson estimationtime series errors

Mathematics Subject Classification ID

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) Nonparametric estimation (62G05)

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