NONPARAMETRIC TRANSFORMATION REGRESSION WITH NONSTATIONARY DATA

DOI10.1017/S026646661400070XzbMath1442.62750MaRDI QIDQ2786679

Oliver B. Linton, Qiying Wang

Publication date: 23 February 2016

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (8)

CHARACTERISTIC FUNCTION BASED TESTING FOR CONDITIONAL INDEPENDENCE: A NONPARAMETRIC REGRESSION APPROACH ⋮ On sufficient conditions for the consistency of local linear kernel estimators ⋮ Towards Insensitivity of Nadaraya--Watson Estimators to Design Correlation ⋮ Universal kernel-type estimation of random fields ⋮ Model checks for nonlinear cointegrating regression ⋮ Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity ⋮ Additive nonparametric models with time variable and both stationary and nonstationary regressors ⋮ Estimation for double-nonlinear cointegration

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