Functional coefficient time series models with trending regressors

DOI10.1080/07474938.2017.1382774zbMath1490.62234OpenAlexW2759270563MaRDI QIDQ5860950

Tingting Cheng

Publication date: 4 March 2022

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

Full work available at URL: https://doi.org/10.1080/07474938.2017.1382774

zbMATH Keywords

bandwidth selectionlocal linear estimationmartingale difference sequencefunctional coefficient modelsgeneralized likelihood ratio

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Functional data analysis (62R10)

Related Items (1)

Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates

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