INFERENCE ON NONSTATIONARY TIME SERIES WITH MOVING MEAN

DOI10.1017/S0266466614000875zbMath1441.62697MaRDI QIDQ2801993

Peter M. Robinson, J. T. Gao

Publication date: 22 April 2016

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466614000875

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

Cites Work

• Inference on power law spatial trends
• Gaussian pseudo-maximum likelihood estimation of fractional time series models
• Nonparametric trending regression with cross-sectional dependence
• Nonparametric regression with heteroscedastic long memory errors
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Fixed design regression for time series: Asymptotic normality
• Large-sample inference for nonparametric regression with dependent errors
• Nonparametric regression with long-memory errors
• Local polynomial fitting with long-memory, short-memory and antipersistent errors
• Nonparametric regression under long-range dependent normal errors
• NON-PARAMETRIC ESTIMATION UNDER STRONG DEPENDENCE
• Transition Modeling and Econometric Convergence Tests
• The asymptotic theory of linear time-series models
• Fixed-design regression for linear time series