We propose a method of modeling panel time series data with both inter- and intra-individual correlation, and of fitting an autoregressive model to such data. Estimates are obtained by a conditional likelihood argument. If there are few observations in each series, the estimates can be...

Bootstrap confidence intervals for impulse responses computed from autoregressive processes are considered. A detailed analysis of the methods in current use shows that they are not very reliable in some cases. In particular, there are theoretical reasons for them to have actual coverage...

This paper develops a new econometric tool for evolutionary autoregressive models where the AR coefficients change smoothly over time. To estimate the unknown functional form of time-varying coefficients, we propose a mdified local linear smoother. The asymptotic normality and variance of the...

This paper suggests a general functional-coefficient regression model in a form of ARX time series model. Contrast to the common threshold variable in the previous works, our model allows each coefficient to possess a different threshold variable and can cover a wide range of nonlinear dynamic...

We consider a problem of estimation of parametric components in a partial linear model. Suppose that a finite set E of linear estimators is given. Our goal is to mimic the estimator in E that has the smallest risk. Using a second order expansion of the risk of linear estimators we propose a...

We consider an additive model with second order interaction terms. It is shown how the components of this model can be estimated using marginal integration, and the asymptotic distribution of the estimators is derived. Moreover, two test statistics for testing the presence of interactions are...

This methodological paper discusses the application of "adaptive" non-parametric procedures for estimating regression functions or contrasts in situations with quantitative regressands and qualitative regressors. We propose to apply an adaptive regressogram, that is the selection of a...

A recipe is provided for producing, from a sequence of procedures in the Gaussian regression model, an asymptotically equivalent sequence in the density estimation model with i. i. d. observations. The recipe is, to put it roughly, to calculate square roots of normalised frequencies over certain...

This paper proposes a nonparametric test of the non-convexity of a smooth regression function based on least squares or hybrid splines. By a simple formulation of the convexity hypothesis in the class of all polynomial cubic splines, we build a test which has an asymptotic size equal to the...