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Estimating the Error Distribution in the Multivariate Heteroscedastic Time Series Models
Kim, Gunky; Silvapulle, Mervyn J.; Silvapulle, Paramsothy - Department of Econometrics and Business Statistics, … - 2007
A semiparametric method is studied for estimating the dependence parameter and the joint distribution of the error term … arguments that would be useful for other potential extensions of this semiparametric approach. It is shown that the proposed … in practice. In this simulation study, our proposed semiparametric method performed better than the well-known parametric …
Persistent link: https://www.econbiz.de/10005149050
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Local Linear Forecasts Using Cubic Smoothing Splines
Hyndman, Rob J; King, Maxwell L.; Pitrun, Ivet; Billah, Baki - Department of Econometrics and Business Statistics, … - 2002
We show how cubic smoothing splines fitted to univariate time series data can be used to obtain local linear forecasts. Our approach is based on a stochastic state space model which allows the use of a likelihood approach for estimating the smoothing parameter, and which enables easy...
Persistent link: https://www.econbiz.de/10005087585
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Expansion of Lévy Process Functionals and Its Application in Statistical Estimation
Dong, Chaohua; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2012
In this paper, expansions of functionals of Lévy processes are established under some Hilbert spaces and their orthogonal bases. From practical standpoint, both time-homogeneous and time-inhomogeneous functionals of Lévy processes are considered. Several expansions and rates of convergence are...
Persistent link: https://www.econbiz.de/10009650287
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Identification, Estimation and Specification in a Class of Semiparametic Time Series Models
Gao, Jiti - Department of Econometrics and Business Statistics, … - 2012
In this paper, we consider some identification, estimation and specification problems in a class of semiparametric time … estimation methods and establish some new results for a new class of semiparametric autoregressive models. In addition, we …
Persistent link: https://www.econbiz.de/10010539086
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Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series
Gao, Jiti; Li, Degui; Tjøstheim, Dag - Department of Econometrics and Business Statistics, … - 2011
This paper establishes a suite of uniform consistency results for nonparametric kernel density and regression estimators when the time series regressors concerned are nonstationary null-recurrent Markov chains. Under suitable conditions, certain rates of convergence are also obtained for the...
Persistent link: https://www.econbiz.de/10009318806
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Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates
Li, Degui; Lu, Zudi; Linton, Oliver - Department of Econometrics and Business Statistics, … - 2011
results of this paper will be of wide potential interest in time series semiparametric modelling. …
Persistent link: https://www.econbiz.de/10009318809
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Semiparametric Localized Bandwidth Selection in Kernel Density Estimation
Cheng, Tingting; Gao, Jiti; Zhang, Xibin - Department of Econometrics and Business Statistics, … - 2014
difficult issue is how we can consistently estimate a localized bandwidth. In this paper, we propose a semiparametric estimation … return under conditional heteroscedasticity, demonstrate the effectiveness and competitiveness of the proposed semiparametric …
Persistent link: https://www.econbiz.de/10010958940
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Semiparametric Single-Index Panel Data Models with Cross-Sectional Dependence
Peng, Bin; Dong, Chaohua; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2014
In this paper, we consider a semiparametric single index panel data mode with cross-sectional dependence, high …
Persistent link: https://www.econbiz.de/10010958943
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Semiparametric Model Selection in Panel Data Models with Deterministic Trends and Cross-Sectional Dependence
Chen, Jia; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2014
In this paper, we consider a model selection issue in semiparametric panel data models with fixed effects. The … semiparametric estimator are established by the joint limit approach. The developed semiparametric model selection methodology is …
Persistent link: https://www.econbiz.de/10010958955
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Estimation for Single-index and Partially Linear Single-index Nonstationary Time Series Models
Dong, Chaohua; Gao, Jiti; Tjostheim, Dag - Department of Econometrics and Business Statistics, … - 2014
Estimation in two classes of popular models, single-index models and partially linear single-index models, is studied in this paper. Such models feature nonstationarity. Orthogonal series expansion is used to approximate the unknown integrable link function in the models and a profile approach...
Persistent link: https://www.econbiz.de/10010958956