Estimating smooth structural change in cointegration models
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Publication:341906
DOI10.1016/J.JECONOM.2016.09.013zbMATH Open1443.62284OpenAlexW3123612879MaRDI QIDQ341906FDOQ341906
Authors: Degui Li, Peter C. B. Phillips, Jiti Gao 
Publication date: 17 November 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://eprints.soton.ac.uk/409660/1/PLGJE2014196_June_03_2016B.pdf
Recommendations
- Kernel-based inference in time-varying coefficient cointegrating regression
- Structural nonparametric cointegrating regression
- Functional-coefficient cointegration models
- COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
- Nonlinear econometric models with cointegrated and deterministically trending regressors
endogeneitynonparametric regressioncointegrationtime varying coefficientskernel degeneracysuper-consistency
Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
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- Uniform consistency of nonstationary kernel-weighted sample covariances for nonparametric regression
- Estimation of semi-varying coefficient models with nonstationary regressors
- Statistical inference in partially time-varying coefficient models
Cited In (23)
- Time-varying cointegration with an application to the UK Great Ratios
- COINTEGRATING SMOOTH TRANSITION REGRESSIONS
- Estimation for single-index and partially linear single-index integrated models
- Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates
- The varying spillover of U.S. systemic risk: a functional-coefficient cointegration approach
- Inference on stochastic time-varying coefficient models
- Efficient estimation and inference in cointegrating regressions with structural change
- A weighted sieve estimator for nonparametric time series models with nonstationary variables
- Inference on a semiparametric model with global power law and local nonparametric trends
- Structural nonparametric cointegrating regression
- Spurious functional-coefficient regression models and robust inference with marginal integration
- Sieve bootstrap inference for linear time-varying coefficient models
- Boosting high dimensional predictive regressions with time varying parameters
- LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION
- Additive nonparametric models with time variable and both stationary and nonstationary regressors
- Data-driven local polynomial for the trend and its derivatives in economic time series
- Nonparametric inference for quantile cointegrations with stationary covariates
- Estimation for double-nonlinear cointegration
- Kernel-based inference in time-varying coefficient cointegrating regression
- Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments
- Time-varying multivariate causal processes
- A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR
- Time-varying predictability of the long horizon equity premium based on semiparametric regressions
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