Series estimation under cross-sectional dependence

DOI10.1016/j.jeconom.2015.08.001zbMath1419.62515OpenAlexW2148771741MaRDI QIDQ894633

Jungyoon Lee, Peter M. Robinson

Publication date: 2 December 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.08.001

zbMATH Keywords

functional central limit theoremsemiparametric regressionnonparametric regressionspatial dataseries estimationcross-sectional dependencedata-driven studentizationmean square rate of convergence

Mathematics Subject Classification ID

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

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