Nonparametric Estimation and Testing in Panels of Intercorrelated Time Series

DOI10.1111/j.1467-9892.2004.00382.xzbMath1062.62181OpenAlexW3124930135MaRDI QIDQ4677045

Rong Chen, Vidar Hjellvik, Dag Tjøstheim

Publication date: 20 May 2005

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.00382.x

zbMATH Keywords

nonlinearlinearity testingpanelheteroscedasticintercorrelated time series

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Related Items (7)

Statistical Inference for Single-index Panel Data Models ⋮ Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions ⋮ Inference and testing breaks in large dynamic panels with strong cross sectional dependence ⋮ Block empirical likelihood for partially linear panel data models with fixed effects ⋮ Non‐parametric time‐varying coefficient panel data models with fixed effects ⋮ Estimation of a rank-reduced functional-coefficient panel data model with serial correlation ⋮ NONPARAMETRIC ADDITIVE MODELS FOR PANELS OF TIME SERIES

Uses Software

• fda (R)

Cites Work

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• Nonparametric statistics for testing of linearity and serial independence
• Local Polynomial Estimation of Regression Functions for Mixing Processes
• Forecasting Using Principal Components From a Large Number of Predictors
• Panel Data Econometrics

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