Estimation of semi-varying coefficient models with nonstationary regressors

DOI10.1080/07474938.2015.1114563OpenAlexW2336870721MaRDI QIDQ5864467

Cheng Hsiao, Kunpeng Li, Degui Li, Zhongwen Liang

Publication date: 7 June 2022

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

Full work available at URL: https://eprints.whiterose.ac.uk/93054/1/LLLH_ER.pdf

zbMATH Keywords

local polynomial fittingsemiparametric estimationunit root processfunctional coefficientssuper-consistency

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (7)

Nonparametric estimation of time varying correlation coefficient ⋮ Estimating smooth structural change in cointegration models ⋮ Adaptive estimation for varying coefficient models with nonstationary covariates ⋮ Variable selection for partially varying coefficient model based on modal regression under high dimensional data ⋮ Kernel-based inference in time-varying coefficient cointegrating regression ⋮ Varying coefficient partially nonlinear models with nonstationary regressors ⋮ Peter Schmidt: Econometrician and consummate professional

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