Estimation in semi-parametric regression with non-stationary regressors

DOI10.3150/10-BEJ344zbMath1238.62044arXiv1205.3324MaRDI QIDQ418246

Jia Chen, Degui Li, J. T. Gao

Publication date: 28 May 2012

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.3324

zbMATH Keywords

asymptotic theory; nonparametric estimation; null recurrent time series

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62G20: Asymptotic properties of nonparametric inference