Topics in Advanced Econometrics

DOI10.1017/CBO9780511599279zbMath0806.62093MaRDI QIDQ4301141

Publication date: 13 July 1994

estimation asymptotic normality testing cointegration examples ARMA nonlinear regression models weak and strong consistency time series models nonlinear least squares estimators ARMAX nonrobustness maximum likelihood theory strong and weak laws of large numbers nonparametric kernel regression functions nonparametric time series regression tests of model misspecification unit root theory

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Related Items (48)

Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics ⋮ Inference and model selection in general causal time series with exogenous covariates ⋮ Central limit theorems and uniform laws of large numbers for arrays of random fields ⋮ Nonparametric cointegration analysis ⋮ Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate ⋮ The Bierens test under data dependence ⋮ A strong law of large numbers for triangular mixingale arrays ⋮ Higher-order asymptotic refinements in the multivariate Dirichlet regression model ⋮ Nonlinear least squares estimation of the periodic EXPAR(1) model ⋮ Comparison of a large number of regression curves ⋮ A semiparametric panel data model for markets in disequilibrium ⋮ On a heavy-tailed parametric quantile regression model for limited range response variables ⋮ Gradient algorithms for quadratic optimization with fast convergence rates ⋮ Multiscale extensions for enhancing coarse grid computations ⋮ Multivariate zero-inflated Bell distribution and its inference and applications ⋮ Research on chest radiography recognition model based on deep learning ⋮ Limit theory for panel data models with cross sectional dependence and sequential exogeneity ⋮ A Review of Nonparametric Time Series Analysis ⋮ Fourier Analysis of Irregularly Spaced Data onRd ⋮ Explaining individual predictions when features are dependent: more accurate approximations to Shapley values ⋮ Expert information and nonparametric Bayesian inference of rare events ⋮ A class of Rényi information estimators for multidimensional densities ⋮ Variable selection in neural network regression models with dependent data: a subsampling approach ⋮ Modeling nonlinear time series with local mixtures of generalized linear models ⋮ Regression towards the mode ⋮ Some restriction tests in a new class of regression models for proportions ⋮ The effects of additive outliers on the seasonal KPSS test: a Monte Carlo analysis ⋮ TIME-VARYING COINTEGRATION ⋮ A test of linearity against functional coefficient autoregressive models ⋮ Statistical Adequacy and the Testing of Trend Versus Difference Stationarity ⋮ On partial-sum processes of ARMAX residuals ⋮ Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es ⋮ Conditional least squares and copulae in claims reserving for a single line of business ⋮ Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments ⋮ Inferring welfare maximizing treatment assignment under budget constraints ⋮ Nonparametric adaptive inference of birth and death models in a large population limit ⋮ SEMI-NONPARAMETRIC INTERVAL-CENSORED MIXED PROPORTIONAL HAZARD MODELS: IDENTIFICATION AND CONSISTENCY RESULTS ⋮ On the regularization of singular c-optimal designs ⋮ A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks ⋮ On the Gompertz-Makeham law: a useful mortality model to deal with human mortality ⋮ A diagnostic statistic for functional-coefficient autoregressive models ⋮ Kernel autocorrelogram for time-deformed processes ⋮ Bootstrap tests for time varying cointegration ⋮ Myopic loss aversion and margin of safety: the risk of value investing ⋮ On the mean-parameterized Bell-Touchard regression model for count data ⋮ Subsampling vector autoregressive tests of linear constraints ⋮ Maximum likelihood estimation of time-inhomogeneous diffusions. ⋮ Econometrics of first-price auctions with entry and binding reservation prices

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