Inference on nonstationary time series with moving mean

DOI10.1017/S0266466614000875zbMATH Open1441.62697OpenAlexW3125667200MaRDI QIDQ2801993FDOQ2801993

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

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• Efficiency improvements in inference on stationary and nonstationary fractional time series

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)

Cites Work

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

Cited In (2)

• Testing parametric assumptions of trends of a nonstationary time series
• Efficiency improvements in inference on stationary and nonstationary fractional time series

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