Structural nonparametric cointegrating regression
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(only showing first 100 items - show all)- Nonparametric cointegration analysis
- Threshold regression with endogeneity
- Model checks for nonlinear cointegrating regression
- Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
- Asymptotic normality of the MLE in the level-effect ARCH model
- 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
- Kernel-based inference in time-varying coefficient cointegrating regression
- Asymptotic behavior for bi-fractional regression models via Malliavin calculus
- Estimation for double-nonlinear cointegration
- Nonlinear regressions with nonstationary time series
- Nonparametric predictive regression
- Semiparametric single-index panel data models with cross-sectional dependence
- Specification testing for nonlinear multivariate cointegrating regressions
- Semiparametric estimation in triangular system equations with nonstationarity
- Uniform convergence rates for a class of martingales with application in non-linear cointegrating regression
- Summability of stochastic processes -- a generalization of integration for non-linear processes
- Testing cointegration relationship in a semiparametric varying coefficient model
- Model specification test with correlated but not cointegrated variables
- A uniform law for convergence to the local times of linear fractional stable motions
- Local composite quantile regression smoothing for Harris recurrent Markov processes
- Nonparametric transformation regression with nonstationary data
- Nonparametric cointegrating regression with endogeneity and long memory
- A consistent nonparametric test on semiparametric smooth coefficient models with integrated time series
- Semiparametric functional coefficient models with integrated covariates
- Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective
- Estimation of a structural vector autoregression model using non-Gaussianity
- Kernel Density Estimation and Local Time
- A similarity-based approach to time-varying coefficient non-stationary autoregression
- Weak convergence to stochastic integrals for econometric applications
- Functional-coefficient models for nonstationary time series data
- Structural Vector Autoregressions With Nonnormal Residuals
- Local linear fitting under near epoch dependence: uniform consistency with convergence rates
- Asymptotic theory for zero energy functionals with nonparametric regression applications
- MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION
- Asymptotics for recurrent diffusions with application to high frequency regression
- Estimating smooth structural change in cointegration models
- Estimation and inference for varying-coefficient models with nonstationary regressors using penalized splines
- Robust estimation and inference for threshold models with integrated regressors
- Uniform consistency for nonparametric estimators in null recurrent time series
- Nonparametric LAD cointegrating regression
- scientific article; zbMATH DE number 88842 (Why is no real title available?)
- Estimation in semi-parametric regression with non-stationary regressors
- Asymptotic theory for fractional regression models via Malliavin calculus
- A specification test for nonlinear nonstationary models
- Specification testing driven by orthogonal series for nonlinear cointegration with endogeneity
- On the functional estimation of multivariate diffusion processes
- Weak convergence to stochastic integrals under primitive conditions in nonlinear econometric models
- Nonparametric identification using instrumental variables: sufficient conditions for completeness
- scientific article; zbMATH DE number 2092186 (Why is no real title available?)
- Non-parametric regression under location shifts
- Nonparametric cointegrating regression with NNH errors
- Nonparametric nonstationarity tests
- Nonlinear cointegrating power function regression with endogeneity
- Least squares estimation for nonlinear regression models with heteroscedasticity
- Adaptive estimation for varying coefficient models with nonstationary covariates
- Nonlinearity induced weak instrumentation
- Volatility spillover effect: a semiparametric analysis of non-cointegrated process
- Asymptotic theory for kernel estimators under moderate deviations from a unit root, with an application to the asymptotic size of nonparametric tests
- Semi-parametric estimation of linear cointegrating models with nonlinear contemporaneous endogeneity
- Cumulated sum of squares statistics for nonlinear and nonstationary regressions
- An extended martingale limit theorem with application to specification test for nonlinear co-integrating regression model
- Dynamic misspecification in nonparametric cointegrating regression
- Estimation in threshold autoregressive models with a stationary and a unit root regime
- Cowles commission structural equation approach in light of nonstationary time series analysis
- Uniform convergence rates over maximal domains in structural nonparametric cointegrating regression
- Semiparametric methods in nonlinear time series analysis: a selective review
- Instrumental variables estimation of stationary and non‐stationary cointegrating regressions
- COINTEGRATING SMOOTH TRANSITION REGRESSIONS
- Adaptive estimation of functionals in nonparametric instrumental regression
- Uniform consistency of nonstationary kernel-weighted sample covariances for nonparametric regression
- LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION
- Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression
- Nonstationary nonlinear quantile regression
- Testing for a unit root with nonstationary nonlinear heteroskedasticity
- Some notes on nonlinear cointegration: a partial review with some novel perspectives
- Standard errors for nonparametric regression
- Local Linear Estimation of a Nonparametric Cointegration Model
- Estimation of semi-varying coefficient models with nonstationary regressors
- Nonlinear estimation using estimated cointegrating relations
- Estimation for single-index and partially linear single-index integrated models
- Endogeneity in semiparametric threshold regression models with two threshold variables
- On sufficient conditions for the consistency of local linear kernel estimators
- Towards Insensitivity of Nadaraya--Watson Estimators to Design Correlation
- Universal kernel-type estimation of random fields
- OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION
- Semi-parametric single-index predictive regression models with cointegrated regressors
- Uniform convergence for nonparametric estimators with nonstationary data
- Weighted nonlinear regression with nonstationary time series
- A New Class of Bivariate Threshold Cointegration Models
- Varying coefficient partially nonlinear models with nonstationary regressors
- Limit theorems for stochastic integrals with long memory processes
- Cointegrating polynomial regressions with power law trends
- Cointegration with occasionally binding constraints
- Limit theory and inference in non-cointegrated functional coefficient regression
- A general limit theory for nonlinear functionals of nonstationary time series
- Partial parametric estimation for nonstationary nonlinear regressions
- Robust estimation in a nonlinear cointegration model
- Functional cointegration: definition and nonparametric estimation
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