A CONSISTENT NONPARAMETRIC TEST ON SEMIPARAMETRIC SMOOTH COEFFICIENT MODELS WITH INTEGRATED TIME SERIES

DOI10.1017/S0266466615000018zbMath1441.62878MaRDI QIDQ2826009

Yiguo Sun, Q. Li, Zong-Wu Cai

Publication date: 14 October 2016

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (5)

The varying spillover of U.S. systemic risk: a functional-coefficient cointegration approach ⋮ Spurious functional-coefficient regression models and robust inference with marginal integration ⋮ When bias contributes to variance: true limit theory in functional coefficient cointegrating regression ⋮ Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates ⋮ Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects

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