Functional coefficient time series models with trending regressors

DOI10.1080/07474938.2017.1382774MaRDI QIDQ5860950zbMATH OpenOpenAlexFDO

Authors Tingting Cheng

Publication date 4 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2017.1382774

zbMATH Keywords

bandwidth selectionlocal linear estimationfunctional coefficient modelsmartingale difference sequencegeneralized likelihood ratio

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Functional data analysis (62R10)

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Cites work

• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 5142517 (Why is no real title available?)
• A Bayesian approach to bandwidth selection for multivariate kernel density estimation
• A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation
• A Brief Survey of Bandwidth Selection for Density Estimation
• A nonparametric method to estimate time varying coefficients under seasonal constraints
• Bandwidth selection for kernel density estimation: a review of fully automatic selectors
• Efficient Estimation and Inferences for Varying-Coefficient Models
• Functional coefficient regression models with time trend
• Functional-Coefficient Regression Models for Nonlinear Time Series
• Functional-coefficient cointegration models
• Functional-coefficient models for nonstationary time series data
• Generalized likelihood ratio statistics and Wilks phenomenon
• Nonlinear Econometric Models with Deterministically Trending Variables
• Nonlinear Time Series
• Nonlinear time series. Nonparametric and parametric methods
• Nonparametric Inferences for Additive Models
• Nonparametric econometrics. Theory and practice.
• Nonparametric estimation of time varying parameters under shape restrictions
• Semiparametric functional coefficient models with integrated covariates
• Statistical estimation in varying coefficient models
• Trending time-varying coefficient time series models with serially correlated errors

Cited in

(7)

• Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates
• Trending time-varying coefficient time series models with serially correlated errors
• Functional coefficient regression models with time trend
• Proportional functional coefficient time series models
• A control function approach for testing the usefulness of trending variables in forecast models and linear regression
• Functional-coefficient cointegration models in the presence of deterministic trends
• Functional-Coefficient Regression Models for Nonlinear Time Series

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