A Seemingly Unrelated Nonparametric Additive Model with Autoregressive Errors

DOI10.1080/07474938.2014.998149zbMath1491.62032OpenAlexW2019719327MaRDI QIDQ5864378

Ri-quan Zhang, Jin-hong You, Alan T. K. Wan

Publication date: 7 June 2022

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

Full work available at URL: https://doi.org/10.1080/07474938.2014.998149

zbMATH Keywords

asymptotic normalityautoregressionadditive structureSURSCAD penaltylocal polynomial

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05)

Related Items (2)

Seemingly unrelated regression tree ⋮ Time-varying additive model with autoregressive errors for locally stationary time series

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