Robust estimation in a nonlinear cointegration model
DOI10.1016/J.JMVA.2009.09.004zbMATH Open1181.62126OpenAlexW2088522407MaRDI QIDQ847424FDOQ847424
Authors: Jia Chen, Degui Li, Lixin Zhang 
Publication date: 12 February 2010
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2009.09.004
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- ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
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Cited In (6)
- Nonparametric LAD cointegrating regression
- Robust estimation for structural spurious regressions and a Hausman-type cointegration test
- Uniform consistency for nonparametric estimators in null recurrent time series
- Nonparametric inference for quantile cointegrations with stationary covariates
- Estimation of semi-varying coefficient models with nonstationary regressors
- Uniform consistency of nonstationary kernel-weighted sample covariances for nonparametric regression
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