SEMI‐PARAMETRIC ESTIMATION OF LINEAR COINTEGRATING MODELS WITH NONLINEAR CONTEMPORANEOUS ENDOGENEITY

DOI10.1111/JTSA.12075zbMath1311.62050OpenAlexW1499592367MaRDI QIDQ5176850

Yiguo Sun

Publication date: 4 March 2015

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

Full work available at URL: https://doi.org/10.1111/jtsa.12075

zbMATH Keywords

integrated time serieslinear cointegrating modelslocal linear regression approach

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

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• Fully Modified Least Squares and Vector Autoregression

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