Estimation of nonstationary nonparametric regression model with multiplicative structure

DOI10.1093/ECTJ/UTAB018MaRDI QIDQ5083304zbMATH OpenOpenAlexFDO

Authors Likai Chen, Ekaterina Smetanina, Wei Biao Wu

Publication date 22 June 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/ectj/utab018

zbMATH Keywords

nonparametric regressionrisk premiumfunctional dependence measureconsumption growth

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(3)

• Nonparametric pointwise estimation for a regression model with multiplicative noise
• Estimating a Continuous Treatment Model with Spillovers: A Control Function Approach
• An embedded model estimator for non-stationary random functions using multiple secondary variables

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