Estimation of nonstationary nonparametric regression model with multiplicative structure

DOI10.1093/ECTJ/UTAB018OpenAlexW3172362269MaRDI QIDQ5083304FDOQ5083304

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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