Functional-coefficient cointegration models in the presence of deterministic trends

DOI10.1080/07474938.2015.1092845zbMATH Open1490.62249OpenAlexW2331601886MaRDI QIDQ5862483FDOQ5862483

Authors: Masayuki Hirukawa, Mari Sakudo 

Publication date: 9 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2015.1092845

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zbMATH Keywords

kernel smoothingcointegrationdeterministic trendendogenous regressorlocal linear regression smoothingpiecewise local linear regression principle

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited In (7)

• Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates
• Functional-coefficient cointegration models
• Functional cointegration: definition and nonparametric estimation
• DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
• Estimation for double-nonlinear cointegration
• Functional coefficient moving average model with applications to forecasting Chinese CPI
• When bias contributes to variance: true limit theory in functional coefficient cointegrating regression

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