Additive nonparametric models with time variable and both stationary and nonstationary regressors
type: Item
instance of: scholarly article
title: Additive nonparametric models with time variable and both stationary and nonstationary regressors
zbMATH Open document ID: 1452.62628
author: Chaohua Dong
author: Oliver Linton
published in: Journal of Econometrics
publication date: 2018-10-12T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62G08
Mathematics Subject Classification ID: 62G20
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6952490
zbMATH Keywords: additive nonparametric models
zbMATH Keywords: deterministic trend
zbMATH Keywords: pairs trading
zbMATH Keywords: series estimator
zbMATH Keywords: stationary and locally stationary processes
zbMATH Keywords: unit root process
MaRDI profile type: Publication
full work available at URL: j.jeconom.2018.05.007
OpenAlex ID: W4240116130
cites work: Some new asymptotic theory for least squares series: pointwise and uniform results
cites work: Functional-coefficient models for nonstationary time series data
cites work: Nonlinear econometric models with cointegrated and deterministically trending regressors
cites work: Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
cites work: Nonlinearity and temporal dependence
cites work: Sieve Extremum Estimates for Weakly Dependent Data
cites work: Semiparametric single-index panel data models with cross-sectional dependence
cites work: Estimation for single-index and partially linear single-index integrated models
cites work: Real Analysis and Probability
cites work: Local linear regression smoothers and their minimax efficiencies
cites work: Nonlinear Time Series
cites work: Semiparametric estimation in triangular system equations with nonstationarity
cites work: Q4542752
cites work: Q3247497
cites work: Q3911791
cites work: Nonparametric estimation in a nonlinear cointegration type model
cites work: Estimation of semiparametric locally stationary diffusion models
cites work: UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION
cites work: Miscellanea. Efficient estimation of additive nonparametric regression models
cites work: Nonparametric transformation regression with nonstationary data
cites work: Oracally Efficient Two-Step Estimation of Generalized Additive Model
cites work: The existence and asymptotic properties of a backfitting projection algorithm under weak conditions
cites work: Convergence rates and asymptotic normality for series estimators
cites work: COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
cites work: ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
cites work: Nonlinear Regressions with Integrated Time Series
cites work: HAC ESTIMATION BY AUTOMATED REGRESSION
cites work: Regression with slowly varying regressors and nonlinear trends
cites work: Estimating smooth structural change in cointegration models
cites work: Asymptotics for linear processes
cites work: Q4663402
cites work: Optimal global rates of convergence for nonparametric regression
cites work: Additive regression and other nonparametric models
cites work: Sieve estimation of panel data models with cross section dependence
cites work: Q4061445
cites work: Nonparametric regression for locally stationary time series
cites work: Limit Theorems for Nonlinear Cointegrating Regression
cites work: ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
cites work: Functional-coefficient cointegration models
Wikidata QID: Q129368277
DOI: 10.1016/J.JECONOM.2018.05.007
description: scientific article; zbMATH DE number 6952490