Inference on nonstationary time series with moving mean

DOI10.1017/S0266466614000875MaRDI QIDQ2801993zbMATH OpenOpenAlexFDO

Authors Jiti Gao, Peter M. Robinson

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

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Gaussian Semiparametric Estimation of Non-stationary Time Series
• Asymptotic theory for time series with changing mean and variance
• SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
• INFERENCE ON NONPARAMETRICALLY TRENDING TIME SERIES WITH FRACTIONAL ERRORS
• Efficiency improvements in inference on stationary and nonstationary fractional time series

Cites work

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

Cited in

(5)

• Inference on a semiparametric model with global power law and local nonparametric trends
• Asymptotic theory for time series with changing mean and variance
• Testing parametric assumptions of trends of a nonstationary time series
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• Efficiency improvements in inference on stationary and nonstationary fractional time series

This page was built for publication: Inference on nonstationary time series with moving mean

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2801993)