Partial parametric estimation for nonstationary nonlinear regressions

DOI10.1016/j.jeconom.2011.09.027zbMath1441.62771OpenAlexW2041942192MaRDI QIDQ738171

Chang Sik Kim, In-Moo Kim

Publication date: 15 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.09.027

zbMATH Keywords

nonstationary nonlinear regressionnonstationary nonparametric cointegrating regressionpartial parametric modeltwo-step estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Nonstationary nonlinear heteroskedasticity in regression
• Asymptotics for linear processes
• Nonstationary nonlinear heteroskedasticity.
• Nonlinear econometric models with cointegrated and deterministically trending regressors
• Endogeneity in Nonlinear Regressions with Integrated Time Series
• ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
• Structural Nonparametric Cointegrating Regression
• TESTS FOR NONLINEAR COINTEGRATION
• Cointegrating Regressions with Time Heterogeneity
• Root-N-Consistent Semiparametric Regression
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Nonlinear Regressions with Integrated Time Series

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