Varying coefficient partially nonlinear models with nonstationary regressors

DOI10.1016/j.jspi.2017.10.001zbMath1392.62281OpenAlexW2764211073MaRDI QIDQ680393

Zhiyong Zhou, Zheng Yan Lin

Publication date: 23 January 2018

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2017.10.001

zbMATH Keywords

local linear fittingunit root processprofile nonlinear least squares estimationvarying coefficient partially nonlinear model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)

Related Items

Adaptive estimation for varying coefficient models with nonstationary covariates, Adjusted empirical likelihood inferences for varying coefficient partially non linear models with endogenous covariates, Orthogonality-based empirical likelihood inference for varying-coefficient partially nonlinear model with longitudinal data, Robust estimation and variable selection for varying-coefficient partially nonlinear models based on modal regression

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Functional-coefficient models for nonstationary time series data
• Estimation and inference for varying coefficient partially nonlinear models
• Estimation in semi-parametric regression with non-stationary regressors
• Nonparametric estimation in a nonlinear cointegration type model
• Nonparametric estimation in null recurrent time series.
• Nonlinear time series. Nonparametric and parametric methods
• Nonlinear regressions with nonstationary time series
• Testing cointegration relationship in a semiparametric varying coefficient model
• Functional-coefficient cointegration models
• NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY
• SEMIPARAMETRIC FUNCTIONAL COEFFICIENT MODELS WITH INTEGRATED COVARIATES
• Endogeneity in Nonlinear Regressions with Integrated Time Series
• ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
• PARTIALLY LINEAR MODELS WITH UNIT ROOTS
• Structural Nonparametric Cointegrating Regression
• Nonlinear Time Series
• ESTIMATION AND INFERENCE FOR VARYING-COEFFICIENT MODELS WITH NONSTATIONARY REGRESSORS USING PENALIZED SPLINES
• UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES
• Efficient Statistical Inference Procedures for Partially Nonlinear Models and their Applications
• LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION
• MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Nonlinear Regressions with Integrated Time Series
• Local Linear Estimation of a Nonparametric Cointegration Model
• Estimation of semi-varying coefficient models with nonstationary regressors
• Estimation for single-index and partially linear single-index integrated models