Estimation and inference for varying-coefficient models with nonstationary regressors using penalized splines
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Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) 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)
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Cites work
- A practical guide to splines
- Asymptotic properties of penalized spline estimators
- ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Cointegration analysis in the presence of structural breaks in the deterministic trend
- Comparing nonparametric versus parametric regression fits
- Consistent Specification Testing Via Nonparametric Series Regression
- Exact likelihood ratio tests for penalised splines
- Flexible smoothing with B-splines and penalties. With comments and a rejoinder by the authors
- Functional-coefficient cointegration models
- Functional-coefficient models for nonstationary time series data
- Functional‐coefficient models under unit root behaviour
- Generalized likelihood ratio statistics and Wilks phenomenon
- Likelihood Ratio Tests in Linear Mixed Models with One Variance Component
- Nonlinear cointegrating regression under weak identification
- Nonlinear Regressions with Integrated Time Series
- Nonparametric specification testing for nonlinear time series with nonstationarity
- On the asymptotics of penalized splines
- Predicting the equity premium with dividend ratios
- Recovery of inter-block information when block sizes are unequal
- Semiparametric Regression
- Some tests for parameter constancy in cointegrated VAR‐models
- Stochastic cointegration: estimation and inference.
- Structural nonparametric cointegrating regression
- Test for partial parameter instability in regressions with \(I(1)\) processes
- Testing for structural change in cointegrated regression models: some comparisons and generalizations
- Testing linearity in cointegrating relations with an application to purchasing power parity
- Theory for penalised spline regression
- Time-varying cointegration
Cited in
(7)- A perspective on recent methods on testing predictability of asset returns
- Solving Euler equations via two-stage nonparametric penalized splines
- Penalized Spline Estimation for Varying-Coefficient Models
- Adaptive estimation for varying coefficient models with nonstationary covariates
- Estimation and identification of a varying-coefficient additive model for locally stationary processes
- Functional coefficient cointegration models with Box-Cox transformation
- Varying coefficient partially nonlinear models with nonstationary regressors
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