Robust estimation in a nonlinear cointegration model
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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)
Recommendations
- Nonparametric LAD cointegrating regression
- Nonparametric estimation in a nonlinear cointegration type model
- Local Linear Estimation of a Nonparametric Cointegration Model
- Nonlinear regressions with nonstationary time series
- ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
Cites work
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 5629280 (Why is no real title available?)
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 635670 (Why is no real title available?)
- scientific article; zbMATH DE number 700016 (Why is no real title available?)
- scientific article; zbMATH DE number 775848 (Why is no real title available?)
- scientific article; zbMATH DE number 889595 (Why is no real title available?)
- scientific article; zbMATH DE number 3365044 (Why is no real title available?)
- ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
- ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
- Asymptotic Theory of Least Absolute Error Regression
- Asymptotic normality ofr-estimates in the linear model
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Functional-coefficient models for nonstationary time series data
- Local M-estimator for nonparametric time series.
- Local linear M-estimation in non-parametric spatial regression
- Minimizing the impact of the initial condition on testing for unit roots
- Nonlinear Time Series
- Nonlinear time series. Nonparametric and parametric methods
- Nonparametric M-estimation with long-memory errors
- Nonparametric econometrics. Theory and practice.
- Nonparametric estimation in a nonlinear cointegration type model
- Nonparametric estimation in null recurrent time series.
- Occupation densities
- One-Step Huber Estimates in the Linear Model
- One-step Local Quasi-likelihood Estimation
- Robust Estimation of a Location Parameter
- Robust Locally Weighted Regression and Smoothing Scatterplots
- Robust local polynomial regression for dependent data
- Robust nonparametric regression estimation for dependent observations
- Robust regression function estimation
- Robust regression: Asymptotics, conjectures and Monte Carlo
- Specification testing in nonlinear and nonstationary time series autoregression
- Structural nonparametric cointegrating regression
- Tests for Unit Roots and the Initial Condition
- UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES
- Variable bandwidth and one-step local \(M\)-estimator
- \(M\)-type smoothing splines with auxiliary scale estimation
Cited in
(6)- Nonparametric LAD cointegrating regression
- Uniform consistency of nonstationary kernel-weighted sample covariances for nonparametric 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
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