On estimating the nonparametric multiplicative error models

DOI10.1016/J.ECONLET.2016.03.023zbMath1398.62239OpenAlexW2314364658MaRDI QIDQ1668246

Shuo Li, Yundong Tu

Publication date: 3 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2016.03.023

zbMATH Keywords

kernel smoothinggeneralized method of momentsmultiplicative error modelconditional homoscedasticity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

• np

Cites Work

• Unnamed Item
• A misspecification test for multiplicative error models of non-negative time series processes
• Goodness-of-Fit Tests for Multiplicative Models with Dependent Data
• NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Non‐monotonic hazard functions and the autoregressive conditional duration model
• Handbook of Volatility Models and Their Applications
• LACK-OF-FIT TESTING OF THE CONDITIONAL MEAN FUNCTION IN A CLASS OF MARKOV MULTIPLICATIVE ERROR MODELS

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