Estimation for double-nonlinear cointegration (Q2305983)

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English	Estimation for double-nonlinear cointegration	scientific article

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scholarly article

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Estimation for double-nonlinear cointegration (English)

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Journal of Econometrics

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publication date

20 March 2020

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zbMATH Keywords

Box-Cox transformation

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nonlinear cointegration

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semiparametrics

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sieve method

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transformation models

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jeconom.2020.01.012

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Rank estimation of a transformation model with observed truncation

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An Analysis of Transformations Revisited

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A canonical analysis of multiple time series

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Estimating Optimal Transformations for Multiple Regression and Correlation

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Functional-coefficient models for nonstationary time series data

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Nonlinear regressions with nonstationary time series

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Index models with integrated time series

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Rank Estimation of Transformation Models

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Nonparametric identification and estimation of transformation models

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SPECIFICATION TESTING DRIVEN BY ORTHOGONAL SERIES FOR NONLINEAR COINTEGRATION WITH ENDOGENEITY

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Semiparametric single-index panel data models with cross-sectional dependence

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Series estimation for single‐index models under constraints

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Estimation for single-index and partially linear single-index integrated models

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Additive nonparametric models with time variable and both stationary and nonstationary regressors

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Smearing Estimate: A Nonparametric Retransformation Method

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Co-Integration and Error Correction: Representation, Estimation, and Testing

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Linear Transformation Model With Parametric Covariate Transformations

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NONPARAMETRIC ESTIMATION OF SEMIPARAMETRIC TRANSFORMATION MODELS

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NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY

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Semiparametric estimation in triangular system equations with nonstationarity

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A non-parametric analysis of transformations

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Functional-coefficient cointegration models in the presence of deterministic trends

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Semiparametric Estimation of a Regression Model with an Unknown Transformation of the Dependent Variable

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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

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Nonparametric estimation in a nonlinear cointegration type model

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Nonparametric predictive regression

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Dynamic misspecification in nonparametric cointegrating regression

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Specification testing for transformation models with an application to generalized accelerated failure-time models

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AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS

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Estimation of a semiparametric transformation model

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NONPARAMETRIC TRANSFORMATION REGRESSION WITH NONSTATIONARY DATA

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On a measure of lack of fit in time series models

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ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES

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Nonstationary Binary Choice

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Nonlinear Regressions with Integrated Time Series

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LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION

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Estimating smooth structural change in cointegration models

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Convergence of stochastic processes

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Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models

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Spurious functional-coefficient regression models and robust inference with marginal integration

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Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets

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Error-Correction Factor Models for High-dimensional Cointegrated Time Series

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Forecasting cointegrated nonstationary time series with time-varying variance

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Nonstationary nonlinear quantile regression

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ESTIMATION OF A SEMIPARAMETRIC TRANSFORMATION MODEL IN THE PRESENCE OF ENDOGENEITY

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ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION

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Structural Nonparametric Cointegrating Regression

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A specification test for nonlinear nonstationary models

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NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY

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Nonparametric Estimation of the Transformation in the Transform-Both-Sides Regression Model

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Estimation of regression parameters in a semiparametric transformation model

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Model checks for nonlinear cointegrating regression

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Functional-coefficient cointegration models

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Nonparametric \(n^{-1/2}\)-consistent estimation for the general transformation models

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Identifying Cointegration by Eigenanalysis

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Identifiers

zbMATH Open document ID

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10.1016/j.jeconom.2020.01.012

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

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