LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION

DOI10.1017/S0266466609990223zbMath1180.62060MaRDI QIDQ3652616

Peter C. B. Phillips

Publication date: 15 December 2009

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

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Diagnostics, and linear inference and regression (62J20)

Related Items (16)

Spurious functional-coefficient regression models and robust inference with marginal integration ⋮ Volatility Spillover Effect: A Semiparametric Analysis of Non-Cointegrated Process ⋮ Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates ⋮ A specification test for nonlinear nonstationary models ⋮ Semiparametric estimation in triangular system equations with nonstationarity ⋮ Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root ⋮ Varying coefficient partially nonlinear models with nonstationary regressors ⋮ Dynamic misspecification in nonparametric cointegrating regression ⋮ Semiparametric methods in nonlinear time series analysis: a selective review ⋮ Estimation for single-index and partially linear single-index integrated models ⋮ Measuring correlations of integrated but not cointegrated variables: a semiparametric approach ⋮ Estimation for double-nonlinear cointegration ⋮ SEMIPARAMETRIC FUNCTIONAL COEFFICIENT MODELS WITH INTEGRATED COVARIATES ⋮ LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION ⋮ Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression ⋮ Standard Errors for Nonparametric Regression

Cites Work

• Unnamed Item
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Analysis of variance, coefficient of determination and \(F\)-test for local polynomial regression
• Nonparametric estimation in a nonlinear cointegration type model
• Understanding spurious regressions in econometrics
• Occupation densities
• Asymptotics for linear processes
• Comportement asymptotique du temps d'occupation du processus des sommes partielles. (Asymptotical behavior of the occupation time of partial sums)
• Spurious regressions in econometrics
• Semiparametric methods in econometrics
• Convergence of functionals of sums of r.v.s to local times of fractional stable motions.
• Challenges of trending time series econometrics
• ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
• Nonlinear Time Series
• New Tools for Understanding Spurious Regressions
• Nonstationary Binary Choice
• Nonlinear Regressions with Integrated Time Series
• ADDENDUM TO “ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES”
• Semiparametric Regression for the Applied Econometrician
• FURTHER RESULTS ON THE ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

This page was built for publication: LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION