LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION

DOI10.1017/S0266466620000122zbMath1462.62249MaRDI QIDQ5859570

Qiying Wang, Ioannis Kasparis, Peter C. B. Phillips

Publication date: 16 April 2021

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

zbMATH Keywords

financial time seriesnonparametric cointegrating regressionforecasting under misspecification

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Economic time series analysis (91B84)

Related Items (1)

LEAST SQUARES ESTIMATION FOR NONLINEAR REGRESSION MODELS WITH HETEROSCEDASTICITY

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