Functional-coefficient cointegration models in the presence of deterministic trends

DOI10.1080/07474938.2015.1092845MaRDI QIDQ5862483zbMATH OpenOpenAlexFDO

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

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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Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
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• Estimation of varying coefficient models with time trend and integrated regressors
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• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Threshold Autoregression with a Unit Root
• Useful conclusions from surprising results

Cited in

(7)

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

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