A CONSISTENT NONPARAMETRIC TEST ON SEMIPARAMETRIC SMOOTH COEFFICIENT MODELS WITH INTEGRATED TIME SERIES
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Publication:2826009
DOI10.1017/S0266466615000018zbMath1441.62878MaRDI QIDQ2826009
Publication date: 14 October 2016
Published in: Econometric Theory (Search for Journal in Brave)
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)
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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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