Nonparametric LAD cointegrating regression
From MaRDI portal
Publication:391595
DOI10.1016/j.jmva.2013.02.009zbMath1359.62370MaRDI QIDQ391595
Publication date: 10 January 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2013.02.009
local polynomial regression; local time; bias; least absolute deviation; integrated process; nonlinear cointegration
62G08: Nonparametric regression and quantile regression
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
Related Items
Nonstationary nonlinear quantile regression, Nonparametric inference for quantile cointegrations with stationary covariates
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Functional-coefficient models for nonstationary time series data
- Quantile cointegrating regression
- A specification test for nonlinear nonstationary models
- Robust estimation in a nonlinear cointegration model
- Nonparametric estimation of conditional medians for linear and related processes
- Nonparametric estimation in a nonlinear cointegration type model
- Specification testing in nonlinear and nonstationary time series autoregression
- Nonparametric estimation in null recurrent time series.
- Nonlinear time series. Nonparametric and parametric methods
- Weak convergence and empirical processes. With applications to statistics
- ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS
- ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
- Structural Nonparametric Cointegrating Regression
- Nonlinear Time Series
- Regression Quantiles
- Prediction and nonparametric estimation for time series with heavy tails
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- REGRESSION QUANTILES FOR TIME SERIES
- Nonparametric estimation of a conditional quantile for \(\alpha\)-mixing processes
