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

DOI10.1016/j.jeconom.2020.12.010OpenAlexW3138982158MaRDI QIDQ2155302

Yundong Tu, Ying Wang

Publication date: 15 July 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.12.010

zbMATH Keywords

testingspurious regressionbalanced regressionfunctional-coefficient cointegration

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (3)

LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION ⋮ Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates ⋮ Estimation for double-nonlinear cointegration

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