A weighted sieve estimator for nonparametric time series models with nonstationary variables
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Publication:2024458
DOI10.1016/j.jeconom.2020.03.024zbMath1471.62462OpenAlexW3087286588MaRDI QIDQ2024458
Bin Peng, Chaohua Dong, Oliver B. Linton
Publication date: 4 May 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.03.024
nonparametric regressionweighted least squaressieve estimationtime trendunbounded supportnonstationary variablestationary variable
Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to environmental and related topics (62P12) Nonparametric estimation (62G05)
Related Items
High dimensional semiparametric moment restriction models, Functional coefficient cointegration models with Box-Cox transformation
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Cites Work
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