SEMIPARAMETRIC FUNCTIONAL COEFFICIENT MODELS WITH INTEGRATED COVARIATES

DOI10.1017/S0266466612000710zbMath1277.62097MaRDI QIDQ2845027

Q. Li, Yiguo Sun, Zong-Wu Cai

Publication date: 22 August 2013

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

Full work available at URL: https://doi.org/10.1017/s0266466612000710

zbMATH Keywords

asymptotic distribution; varying coefficient models; empirical application; semiparametric estimator; integrated variables; functionals of stationary processes

Mathematics Subject Classification ID

62J05: Linear regression; mixed models

62G05: Nonparametric estimation

91B82: Statistical methods; economic indices and measures

Related Items

Adaptive estimation for varying coefficient models with nonstationary covariates, Functional coefficient time series models with trending regressors, Local Linear Estimation of a Nonparametric Cointegration Model, Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates, Varying coefficient partially nonlinear models with nonstationary regressors, Panel data models with cross-sectional dependence: a selective review, A perspective on recent methods on testing predictability of asset returns, Spurious functional-coefficient regression models and robust inference with marginal integration, Nonparametric inference for quantile cointegrations with stationary covariates, Testing cointegration relationship in a semiparametric varying coefficient model, A CONSISTENT NONPARAMETRIC TEST ON SEMIPARAMETRIC SMOOTH COEFFICIENT MODELS WITH INTEGRATED TIME SERIES

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