Semiparametric functional coefficient models with integrated covariates

DOI10.1017/S0266466612000710MaRDI QIDQ2845027zbMATH OpenOpenAlexFDO

Authors Yiguo Sun, Qi Li, Zongwu Cai

Publication date 22 August 2013

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466612000710

zbMATH Keywords

asymptotic distributionempirical applicationfunctionals of stationary processesintegrated variablessemiparametric estimatorvarying coefficient models

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Linear regression; mixed models (62J05) Statistical methods; economic indices and measures (91B82)

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Cites work

• A CUSUM test for cointegration using regression residuals
• Almost sure invariance principles for partial sums of mixing B-valued random variables
• ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
• Convergence of functionals of sums of r.v.s to local times of fractional stable motions.
• Dynamic misspecification in nonparametric cointegrating regression
• Efficient Tests for an Autoregressive Unit Root
• Functional-coefficient cointegration models
• Functional-coefficient models for nonstationary time series data
• Functional‐coefficient models under unit root behaviour
• scientific article; zbMATH DE number 2150787 (Why is no real title available?)
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• Local limit theory and spurious nonparametric regression
• Nonlinear Regressions with Integrated Time Series
• Structural nonparametric cointegrating regression
• Testing for a unit root in time series regression
• The functional law of the iterated logarithm for stationary strongly mixing sequences

Cited in

(17)

• A perspective on recent methods on testing predictability of asset returns
• Functional coefficient panel modeling with communal smoothing covariates
• Spurious functional-coefficient regression models and robust inference with marginal integration
• Nonparametric inference for quantile cointegrations with stationary covariates
• Testing cointegration relationship in a semiparametric varying coefficient model
• A consistent nonparametric test on semiparametric smooth coefficient models with integrated time series
• Adaptive estimation for varying coefficient models with nonstationary covariates
• FSEM: Functional Structural Equation Models for Twin Functional Data
• Integrated Estimation of Functional-Coefficient Regression Models with Different Smoothing Variables
• Functional coefficient time series models with trending regressors
• Local Linear Estimation of a Nonparametric Cointegration Model
• Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates
• Varying coefficient partially nonlinear models with nonstationary regressors
• Limit theory and inference in non-cointegrated functional coefficient regression
• Kernel mode-based varying coefficient models with nonstationary regressors
• Panel data models with cross-sectional dependence: a selective review
• Measuring correlations of integrated but not cointegrated variables: a semiparametric approach

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