SEMIPARAMETRIC FUNCTIONAL COEFFICIENT MODELS WITH INTEGRATED COVARIATES

DOI10.1017/S0266466612000710zbMath1277.62097OpenAlexW2032310541MaRDI QIDQ2845027

Q. Li, Yiguo Sun, Zong-Wu Cai

Publication date: 22 August 2013

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

Full work available at URL: https://doi.org/10.1017/s0266466612000710

zbMATH Keywords

asymptotic distributionvarying coefficient modelsempirical applicationsemiparametric estimatorintegrated variablesfunctionals of stationary processes

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Nonparametric estimation (62G05) Statistical methods; economic indices and measures (91B82)

Related Items (11)

A perspective on recent methods on testing predictability of asset returns ⋮ Spurious functional-coefficient regression models and robust inference with marginal integration ⋮ Adaptive estimation for varying coefficient models with nonstationary covariates ⋮ Nonparametric inference for quantile cointegrations with stationary covariates ⋮ Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates ⋮ Varying coefficient partially nonlinear models with nonstationary regressors ⋮ Panel data models with cross-sectional dependence: a selective review ⋮ Testing cointegration relationship in a semiparametric varying coefficient model ⋮ A CONSISTENT NONPARAMETRIC TEST ON SEMIPARAMETRIC SMOOTH COEFFICIENT MODELS WITH INTEGRATED TIME SERIES ⋮ Functional coefficient time series models with trending regressors ⋮ Local Linear Estimation of a Nonparametric Cointegration Model

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