A weighted sieve estimator for nonparametric time series models with nonstationary variables

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

zbMATH Keywords

nonparametric regressionweighted least squaressieve estimationtime trendunbounded supportnonstationary variablestationary variable

Mathematics Subject Classification ID

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

Uses Software

• OPQ

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Functional-coefficient models for nonstationary time series data
• Estimating smooth structural change in cointegration models
• Estimation in nonlinear regression with Harris recurrent Markov chains
• Gaussian pseudo-maximum likelihood estimation of fractional time series models
• Some new asymptotic theory for least squares series: pointwise and uniform results
• A new approach to universality limits involving orthogonal polynomials
• A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom
• Nonparametric estimation in a nonlinear cointegration type model
• Additive regression and other nonparametric models
• Géza Freud, orthogonal polynomials and Christoffel functions. A case study
• Optimal rates of convergence for nonparametric estimators
• Szegö's extremum problem on the unit circle
• Asymptotics for linear processes
• Christoffel functions, orthogonal polynomials, and Nevai's conjecture for Freud weights
• Convergence rates and asymptotic normality for series estimators
• Additive nonparametric models with time variable and both stationary and nonstationary regressors
• Nonparametric estimation in null recurrent time series.
• Model specification tests in nonparametric stochastic regression models
• Nonparametric statistics for stochastic processes
• Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
• High dimensional generalized empirical likelihood for moment restrictions with dependent data
• Nonparametric predictive regression
• Semiparametric single-index panel data models with cross-sectional dependence
• Predictive regression under various degrees of persistence and robust long-horizon regression
• Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
• Introduction to the constructive theory of functions
• Functional-coefficient cointegration models
• Nonlinear econometric models with cointegrated and deterministically trending regressors
• NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY
• ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
• MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION
• NULL RECURRENT UNIT ROOT PROCESSES
• An Inequality for Hermite Polynomials
• Limit Theorems for Nonlinear Cointegrating Regression
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
• Sieve Extremum Estimates for Weakly Dependent Data
• Nonlinear Regressions with Integrated Time Series
• SPECIFICATION TESTING DRIVEN BY ORTHOGONAL SERIES FOR NONLINEAR COINTEGRATION WITH ENDOGENEITY
• Semiparametric Estimation of Index Coefficients
• A kernel method of estimating structured nonparametric regression based on marginal integration
• Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
• $L^\infty $-Multivariate Approximation Theory
• HAC ESTIMATION BY AUTOMATED REGRESSION
• UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION
• Orthogonal polynomials for exponential weights
• Semiparametric fractional cointegration analysis
• Estimation for single-index and partially linear single-index integrated models