Series estimation under cross-sectional dependence
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Publication:894633
DOI10.1016/J.JECONOM.2015.08.001zbMATH Open1419.62515OpenAlexW2148771741MaRDI QIDQ894633FDOQ894633
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
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nonparametric regressioncross-sectional dependencefunctional central limit theoremspatial dataseries estimationsemiparametric regressiondata-driven studentizationmean square rate of convergence
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)
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Cited In (25)
- Editorial: Celebrating 40 years of panel data analysis: past, present and future
- Inference on modelling cross-sectional dependence for a varying-coefficient model
- Simulated Greeks for American options
- Inference without smoothing for large panels with cross-sectional and temporal dependence
- Treatment effect models with strategic interaction in treatment decisions
- Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
- Estimation and inference in semiparametric quantile factor models
- Variable selection in heterogeneous panel data models with cross‐sectional dependence
- Dependence among single stations in series and its applications in productivity improvement
- Varying-Coefficient Panel Data Models With Nonstationarity and Partially Observed Factor Structure
- Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect
- Uniform Nonparametric Inference for Spatially Dependent Panel Data
- Nonparametric estimation for high-frequency data incorporating trading information
- Estimation in a semiparametric panel data model with nonstationarity
- A varying-coefficient panel data model with fixed effects: theory and an application to US commercial banks
- Sieve semiparametric two-step GMM under weak dependence
- Estimation of a nonparametric model for bond prices from cross-section and time series information
- Determining individual or time effects in panel data models
- GMM estimation for high-dimensional panel data models
- Nonparametric specification testing via the trinity of tests
- Bootstrap inference under cross‐sectional dependence
- Robust inference on infinite and growing dimensional time-series regression
- Testing nonparametric shape restrictions
- Heterogeneous panel data models with cross-sectional dependence
- Binary response models for heterogeneous panel data with interactive fixed effects
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